An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
From MaRDI portal
Publication:2231294
DOI10.1016/j.cam.2021.113774zbMath1471.91620OpenAlexW3196067894MaRDI QIDQ2231294
V. M. K. Prasad Goura, Pradip Roul
Publication date: 29 September 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2021.113774
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Related Items
Applying spline-based phase analysis to macroeconomic dynamics ⋮ Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
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
- 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 fourth-order non-uniform mesh optimal B-spline collocation method for solving a strongly nonlinear singular boundary value problem describing electrohydrodynamic flow of a fluid
- B-spline collocation methods and their convergence for a class of nonlinear derivative dependent singular boundary value problems
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE
- A high accuracy numerical method and its convergence for time-fractional Black-Scholes equation governing European options
- A new mixed MADM-collocation approach for solving a class of Lane-Emden singular boundary value problems
- Finite difference scheme with a moving mesh for pricing Asian options
- On the convergence of odd-degree spline interpolation
- On error bounds for spline interpolation
- Survey of the stability of linear finite difference equations
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- The value of an Asian option
