A fourth order numerical method based on B-spline functions for pricing Asian options

DOI10.1016/j.camwa.2020.04.001zbMath1446.65133OpenAlexW3017165884MaRDI QIDQ2197862

Pradip Roul

Publication date: 1 September 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2020.04.001

zbMATH Keywords

convergence analysiscollocation methodstability analysisquartic B-splineAsian option pricingdelta value

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) 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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (15)

Efficient Spectral-Galerkin Method for Pricing Asian Options ⋮ Path-dependent game options with Asian features ⋮ An accurate and stable numerical method for option hedge parameters ⋮ A numerical technique based on B‐spline for a class of time‐fractional diffusion equation ⋮ L^∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ A computational technique for solving the time‐fractional Fokker‐Planck equation ⋮ Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing ⋮ A Bessel collocation method for solving Bratu's problem ⋮ Unnamed Item ⋮ PDTM Approach to Solve Black Scholes Equation for Powered ML-Payoff Function ⋮ SPECTRALLY ACCURATE OPTION PRICING UNDER THE TIME-FRACTIONAL BLACK–SCHOLES MODEL ⋮ A high order numerical technique and its analysis for nonlinear generalized Fisher's equation ⋮ An efficient numerical scheme and its stability analysis for a time-fractional reaction diffusion model ⋮ Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A hybrid finite difference scheme for pricing Asian options
• A reliable numerical method to price arithmetic Asian options
• On the choice of source points in the method of fundamental solutions
• Finite element solution of diffusion problems with irregular data
• A lower bound for the smallest singular value of a matrix
• A practical guide to splines
• A numerical study of Asian option with radial basis functions based finite differences method
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• A meshless method for solving three-dimensional time fractional diffusion equation with variable-order derivatives
• A sixth order numerical method and its convergence for generalized Black-Scholes PDE
• Finite difference scheme with a moving mesh for pricing Asian options
• Far Field Boundary Conditions for Black--Scholes Equations
• Survey of the stability of linear finite difference equations
• Some mathematical results in the pricing of American options
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• Spline approximation method to solve an option pricing problem
• A fourth-order B-spline collocation method and its error analysis for Bratu-type and Lane–Emden problems
• A Regularized Singular Boundary Method for Inverse Cauchy Problem in Three-Dimensional Elastostatics
• A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation

This page was built for publication: A fourth order numerical method based on B-spline functions for pricing Asian options