High-order exponential spline method for pricing European options
DOI10.1080/10236198.2018.1543414zbMATH Open1419.91653OpenAlexW2900683262WikidataQ115550413 ScholiaQ115550413MaRDI QIDQ4646565FDOQ4646565
Authors: Reza Mohammadi 
Publication date: 14 January 2019
Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10236198.2018.1543414
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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Cited In (5)
- B-spline solution of the Black-Scholes partial differential equation
- An Eulerian-Lagrangian method for option pricing in finance
- Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
- Research on actual or industrial applications of difference equations: a chimerical task?
- Spline approximation method to solve an option pricing problem
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