Option pricing using a computational method based on reproducing kernel

DOI10.1016/j.cam.2017.05.032zbMath1405.91701MaRDI QIDQ2406304

Mojtaba Fardi, Mehdi Ghasemi, S. Vahdati

Publication date: 27 September 2017

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.2017.05.032

zbMATH Keywords

convergence; reproducing kernel Hilbert space; error; generalized Black-Scholes equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

46E22: Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces)