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

finite difference methodBlack-Scholes equationcubic B-splineEuropean put option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) 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)

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Cited in

(6)

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

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