An accurate solution for the generalized Black-Scholes equations governing option pricing
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Publication:2132964
Black-Scholes equationeuropean optionsgeneralized trapezoidal formulasoption pricinguniform boundedness
Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A class of generalized trapezoidal formulas for the numerical integration of
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- A High-Order Difference Method for Differential Equations
- A lower bound for the smallest singular value of a matrix
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A novel high order space-time spectral method for the time fractional Fokker-Planck equation
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
- An upwind approach for an American and European option pricing model
- Compact finite difference method for American option pricing
- Cubic spline method for a generalized Black-Scholes equation
- Estimation of local volatilities in a generalized Black-Scholes model
- Existence, Uniqueness, and Numerical Analysis of Solutions of a Quasilinear Parabolic Problem
- Far field boundary conditions for Black-Scholes equations
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
- Generalized trapezoidal formulas for convection-diffusion equations
- Generalized trapezoidal formulas for parabolic equations
- Generalized trapezoidal formulas for the black–scholes equation of option pricing
- scientific article; zbMATH DE number 1061253 (Why is no real title available?)
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- Integration of Stiff Equations
- Inverse problems for partial differential equations
- Numerical solution of generalized Black-Scholes model
- Numerical solution of linear and nonlinear Black-Scholes option pricing equations
- Numerically pricing double barrier options in a time-fractional Black-Scholes model
- On the integration of stiff systems of O.D.E.s using extended backward differentiation formulae
- Option pricing of a bi-fractional Black-Merton-Scholes model with the Hurst exponent \(H\) in \([\frac{1}{2}, 1]\)
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- The pricing of options and corporate liabilities
- The second-order backward differentiation formula is unconditionally zero-stable
Cited in
(9)- Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations
- Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- On approximate-analytical solution of generalized Black-Scholes equation
- Forecasting stock options prices via the solution of an ill-posed problem for the Black–Scholes equation
- Discretization processing of financial risk management using stochastic differential equation simulation method
- The Black-Scholes equation in finance: quantum mechanical approaches
- Two methods for solving the two-dimensional Black-Scholes equation
- Exponential B-spline collocation method with Richardson extrapolation for generalized Black-Scholes equation
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