Cubic trigonometric B-spline collocation method for Black-Scholes model

DOI10.3969/J.ISSN.0490-6756.2017.06.005zbMATH Open1399.65052MaRDI QIDQ3175564FDOQ3175564

Authors: Beibei Wu, Jun-Feng Yin, Meng Jin 

Publication date: 18 July 2018

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zbMATH Keywords

option pricingfinite differenceBlack-Scholes equationcubic trigonometric B-spline

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Cited In (8)

• Cubic B-spline collocation method for pricing European put option
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
• Collocation method based on modified cubic B-spline for option pricing models
• A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
• Bilinear collocation method for fuzzy Black-Scholes equation
• Modified B-spline collocation approach for pricing American style Asian options
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• Cubic spline method for a generalized Black-Scholes equation

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