Collocation method based on modified cubic B-spline for option pricing models
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Parabolic equations and parabolic systems (35K99) Spline approximation (41A15) Stopping times; optimal stopping problems; gambling theory (60G40) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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