Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
From MaRDI portal
Publication:2006103
DOI10.1016/J.CAMWA.2015.02.018zbMATH Open1443.65249OpenAlexW1980508838MaRDI QIDQ2006103FDOQ2006103
Publication date: 8 October 2020
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2015.02.018
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- The pricing of options and corporate liabilities
- Survey of the stability of linear finite difference equations
- Far field boundary conditions for Black-Scholes equations
- Sextic B-spline collocation method for solving Euler-Bernoulli beam models
- Spline solution of the generalized Burgers'-Fisher equation
- An exponential spline solution of nonlinear Schrödinger equations with constant and variable coefficients
- Tension spline approach for the numerical solution of nonlinear Klein-Gordon equation
- Tension spline solution of nonlinear sine-Gordon equation
- Finite element solution of diffusion problems with irregular data
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- Some mathematical results in the pricing of American options
- A numerical method for European option pricing with transaction costs nonlinear equation
- The homotopy perturbation method for the Black–Scholes equation
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Radial basis functions with application to finance: American put option under jump diffusion
- On the smoothing property of the crank-nicolson scheme
- An O(h 6) quintic spline collocation method for fourth order two-point boundary value problems
- Sextic spline solution of fifth-order boundary value problems
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- An upwind approach for an American and European option pricing model
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- Tools for computational finance.
- A Laplace transform finite difference method for the Black-Scholes equation
- Extended double-stride \(L\)-stable methods for the numerical solution of ODEs
- Spline approximation method to solve an option pricing problem
- High-accuracy finite-difference methods for the valuation of options
Cited In (22)
- Space-time kernel based numerical method for generalized Black-Scholes equation
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- Optimal algebra and power series solution of fractional Black-Scholes pricing model
- High-order exponential spline method for pricing European options
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- A robust spline collocation method for pricing American put options
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE
- A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
- A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
- Bilinear collocation method for fuzzy Black-Scholes equation
- Numerical approximation for viscous Cahn–Hilliard equation via septic B-spline
- Implementation of the vehicular occupancy-emission relation using a cubic B-splines collocation method
- Smooth quintic spline approximation for nonlinear Schrödinger equations with variable coefficients in one and two dimensions
- A highly accurate algorithm for retrieving the predicted behavior of problems with piecewise-smooth initial data
- SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL
- Lattice Boltzmann method for the generalized Black-Scholes equation
- An efficient computational algorithm for pricing European, barrier and American options
- Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
- PDTM Approach to Solve Black Scholes Equation for Powered ML-Payoff Function
- Robust numerical scheme for nonlinear modified Burgers equation
- Title not available (Why is that?)
- Fast and accurate calculation of American option prices
This page was built for publication: Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2006103)
