A fourth order numerical method based on B-spline functions for pricing Asian options
DOI10.1016/j.camwa.2020.04.001zbMath1446.65133OpenAlexW3017165884MaRDI QIDQ2197862
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
convergence analysiscollocation methodstability analysisquartic B-splineAsian option pricingdelta value
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)
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