scientific article; zbMATH DE number 1034230

MaRDI QIDQ4344494zbMATH OpenFDO

Authors

Publication date 16 July 1997

zbMATH Keywords

Cambridge (GB)FinanceNumerical methodsProceedingsSession

Mathematics Subject Classification ID

Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming (90-06)

Cited in

(9)

• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
• Topics in numerical methods for finance. Papers based on the presentations at the 3rd international conference, Limerick, Ireland, June 8--10, 2011.
• Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms
• Weak convergence rate of a time-discrete scheme for the Heston stochastic volatility model
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
• Efficient numerical scheme for generalized Black-Scholes equations on piecewise uniform Shishkin-type mesh
• A robust finite difference scheme for pricing American put options with singularity-separating method

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