B-spline solution of the Black-Scholes partial differential equation

MaRDI QIDQ3560360zbMATH OpenFDO

Authors Nazan Caglar, Muge Iseri, Hikmet Caglar, Mehmet Özer

Publication date 14 May 2010

zbMATH Keywords

Black-Scholes equationB-spline method

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Spline approximation method to solve an option pricing problem
• Collocation method based on modified cubic B-spline for option pricing models
• High-order compact finite difference method for Black-Scholes PDE
• High-order exponential spline method for pricing European options
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation

Cited in

(9)

• A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
• scientific article; zbMATH DE number 1944677 (Why is no real title available?)
• scientific article; zbMATH DE number 2163466 (Why is no real title available?)
• Cubic trigonometric B-spline collocation method for Black-Scholes model
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
• Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
• Spline approximation method to solve an option pricing problem
• Solving fractional Black-Scholes equation by using Boubaker functions
• High-order exponential spline method for pricing European options

This page was built for publication: B-spline solution of the Black-Scholes partial differential equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3560360)