Adaptive wavelet precise integration method for nonlinear Black-Scholes model based on variational iteration method
DOI10.1155/2013/735919zbMATH Open1275.65072OpenAlexW1968752421WikidataQ58916808 ScholiaQ58916808MaRDI QIDQ370164FDOQ370164
Authors: Huahong Yan 
Publication date: 19 September 2013
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/735919
Recommendations
- Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation
- Faber-Schauder wavelet sparse grid approach for option pricing with transactions cost
- Analytical solution of the Black-Scholes equation by using variational iteration method
- Touchard wavelet technique for solving time-fractional Black-Scholes model
- Solving Black-Scholes equations using fractional generalized homotopy analysis method
numerical resultnumerical stabilityBlack-Scholes modelvariational iteration methodadaptive wavelet precise integration methodnonlinear matrix differential equationpricing options
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Microeconomic theory (price theory and economic markets) (91B24) Nonlinear higher-order PDEs (35G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Cites Work
- Variational iteration method -- a kind of non-linear analytical technique: Some examples
- Variational iteration method for autonomous ordinary differential systems
- Variational iteration method: New development and applications
- Asymptotic methods for solitary solutions and compactons
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- Variational iteration method for the Burgers' flow with fractional derivatives -- new Lagrange multipliers
- Variational iteration method for \(q\)-difference equations of second order
- Asymptotic numerical method for multi-degree-of-freedom nonlinear dynamic systems
- Stochastic moment problem and hedging of generalized Black-Scholes options
- Coupling technique of variational iteration and homotopy perturbation methods for nonlinear matrix differential equations
- Linearized perturbation method for stochastic analysis of a rill erosion model
- Adaptive interval wavelet precise integration method for partial differential equations
- Modified variational iteration method for free-convective boundary-layer equation using Padé approximation
Cited In (6)
- Faber-Schauder wavelet sparse grid approach for option pricing with transactions cost
- Interval wavelet numerical method on Fokker-Planck equations for nonlinear random system
- Interval Shannon wavelet collocation method for fractional Fokker-Planck equation
- A Fréchet derivative‐based novel approach to option pricing models in illiquid markets
- Point-symmetric extension-based interval Shannon-cosine spectral method for fractional PDEs
- Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation
This page was built for publication: Adaptive wavelet precise integration method for nonlinear Black-Scholes model based on variational iteration method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q370164)
