A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
DOI10.1016/j.mcm.2011.10.040zbMath1255.91431MaRDI QIDQ1933924
Mohan K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi
Publication date: 27 January 2013
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.10.040
option pricing; method of lines; collocation; B-spline; Scholes equation; generalized black; rannacher time-stepping technique
91G60: Numerical methods (including Monte Carlo methods)
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
