Cubic B-spline collocation method for pricing European put option

DOI10.3969/J.ISSN.1001-8395.2018.02.015MaRDI QIDQ4688817zbMATH OpenFDO

Authors Beibei Wu

Publication date 22 October 2018

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-8395.2018.02.015

zbMATH Keywords

Black-Scholes equationcubic B-splineEuropean put optionfinite difference method

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(6)

• Modified B-spline collocation approach for pricing American style Asian options
• An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
• A robust spline collocation method for pricing American put options
• Cubic trigonometric B-spline collocation method for Black-Scholes model
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
• Collocation method based on modified cubic B-spline for option pricing models

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