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

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 pricing; method of lines; collocation; B-spline; Scholes equation; generalized black; rannacher time-stepping technique

Mathematics Subject Classification ID

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

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