Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
From MaRDI portal
Publication:2006103
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) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE
- Cubic trigonometric B-spline collocation method for Black-Scholes model
- Spline approximation method to solve an option pricing problem
Cites work
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- A Laplace transform finite difference method for the Black-Scholes equation
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A numerical method for European option pricing with transaction costs nonlinear equation
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- An exponential spline solution of nonlinear Schrödinger equations with constant and variable coefficients
- An O(h 6) quintic spline collocation method for fourth order two-point boundary value problems
- An upwind approach for an American and European option pricing model
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Extended double-stride \(L\)-stable methods for the numerical solution of ODEs
- Far field boundary conditions for Black-Scholes equations
- Finite element solution of diffusion problems with irregular data
- High-accuracy finite-difference methods for the valuation of options
- scientific article; zbMATH DE number 1253573 (Why is no real title available?)
- scientific article; zbMATH DE number 503063 (Why is no real title available?)
- scientific article; zbMATH DE number 1034230 (Why is no real title available?)
- scientific article; zbMATH DE number 1069620 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 1453365 (Why is no real title available?)
- scientific article; zbMATH DE number 3101307 (Why is no real title available?)
- On the smoothing property of the crank-nicolson scheme
- Radial basis functions with application to finance: American put option under jump diffusion
- Sextic B-spline collocation method for solving Euler-Bernoulli beam models
- Sextic spline solution of fifth-order boundary value problems
- Some mathematical results in the pricing of American options
- Spline approximation method to solve an option pricing problem
- Spline solution of the generalized Burgers'-Fisher equation
- Survey of the stability of linear finite difference equations
- Tension spline approach for the numerical solution of nonlinear Klein-Gordon equation
- Tension spline solution of nonlinear sine-Gordon equation
- The homotopy perturbation method for the Black–Scholes equation
- The pricing of options and corporate liabilities
- Tools for computational finance.
Cited in
(32)- Smooth quintic spline approximation for nonlinear Schrödinger equations with variable coefficients in one and two dimensions
- Fast and accurate calculation of American option prices
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- An efficient computational algorithm for pricing European, barrier and American options
- A highly accurate algorithm for retrieving the predicted behavior of problems with piecewise-smooth initial data
- Optimal algebra and power series solution of fractional Black-Scholes pricing model
- Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE
- Implementation of the vehicular occupancy-emission relation using a cubic B-splines collocation method
- A robust spline collocation method for pricing American put options
- A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
- Lattice Boltzmann method for the generalized Black-Scholes equation
- Bilinear collocation method for fuzzy Black-Scholes equation
- Cubic trigonometric B-spline collocation method for Black-Scholes model
- Numerical approximation for viscous Cahn-Hilliard equation via septic B-spline
- High-order exponential spline method for pricing European options
- Spline approximation method to solve an option pricing problem
- Robust numerical scheme for nonlinear modified Burgers equation
- PDTM approach to solve Black Scholes equation for powered ML-payoff function
- Spectrally accurate option pricing under the time-fractional Black-Scholes model
- Collocation method based on modified cubic B-spline for option pricing models
- A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
- Numerical solution of the Black-Scholes partial differential equation for the option pricing model using the ADM-Kamal method
- An efficient and robust computational approach to passport option pricing PDEs
- An efficient robust computational method for solving Black-Scholes PDEs
- Exponential B-spline collocation method with Richardson extrapolation for generalized Black-Scholes equation
- An adaptive mesh based computational approach to the option price and their greeks in time fractional Black-Scholes framework
- A novel higher-order efficient computational method for pricing European and Asian options
- A fourth-order collocation scheme for generalized Black-Scholes model in financial decision-making
- Space-time kernel based numerical method for generalized Black-Scholes equation
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)
