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

DOI10.1016/j.mcm.2011.10.040zbMath1255.91431OpenAlexW2057949621MaRDI QIDQ1933924

Alpesh Kumar, Mohan K. Kadalbajoo, 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

zbMATH Keywords

option pricingmethod of linescollocationB-splineScholes equationgeneralized blackrannacher time-stepping technique

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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