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scientific article; zbMATH DE number 7811145

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7811145

Statements

scholarly article

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Reza Khoshsiar Ghaziani

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publication date

29 February 2024

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zbMATH Keywords

Black-Scholes equation

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European option pricing

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kernel-based method

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finite difference discretization

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error analysis

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MaRDI profile type

MaRDI publication profile

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Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing

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Solution of option pricing equations using orthogonal polynomial expansion.

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A robust finite difference scheme for pricing American put options with singularity-separating method

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A robust and accurate finite difference method for a generalized Black-Scholes equation

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A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets

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Variational methods for the solution of problems of equilibrium and vibrations

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A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation

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A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation

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Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates

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Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations

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An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs

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On the solution of two-dimensional fractional Black-Scholes equation for European put option

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Numerical solution of generalized Black-Scholes model

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A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option

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Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval

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Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval

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A novel fitted finite volume method for the Black-Scholes equation governing option pricing

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Using reproducing kernel for solving a class of fractional partial differential equation with non-classical conditions

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Existence, Uniqueness, and Numerical Analysis of Solutions of a Quasilinear Parabolic Problem

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Numerical solution of the time fractional Black-Scholes model governing European options

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.22034/CMDE.2023.56236.2349

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Sitelinks

Mathematics(1 entry)

mardi Publication:6119093

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