High-order exponential spline method for pricing European options
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Publication:4646565
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Cites work
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3182507 (Why is no real title available?)
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- A high-order finite difference method for option valuation
- A numerical method for European option pricing with transaction costs nonlinear equation
- A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
- A quasi-radial basis functions method for American options pricing.
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation
- An upwind approach for an American and European option pricing model
- Collocation method based on modified cubic B-spline for option pricing models
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Finite element solution of diffusion problems with irregular data
- Generalized trapezoidal formulas for the black–scholes equation of option pricing
- High-accuracy finite-difference methods for the valuation of options
- Modified B-spline collocation approach for pricing American style Asian options
- On the smoothing property of the crank-nicolson scheme
- Option pricing with Legendre polynomials
- Options valuation by using radial basis function approximation
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- Radial basis functions with application to finance: American put option under jump diffusion
- Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
- Spline approximation method to solve an option pricing problem
- The Mathematics of Financial Derivatives
- The homotopy perturbation method for the Black–Scholes equation
- The pricing of options and corporate liabilities
- Tools for computational finance.
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options
Cited in
(6)- An Eulerian-Lagrangian method for option pricing in finance
- Rational Krylov methods in exponential integrators for European option pricing.
- B-spline solution of the Black-Scholes partial differential equation
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Spline approximation method to solve an option pricing problem
- Research on actual or industrial applications of difference equations: a chimerical task?
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