Spline approximation method to solve an option pricing problem
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General theory of difference equations (39A05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- A Lagrangian reproducing kernel particle method for metal forming analysis
- A numerical method for European option pricing with transaction costs nonlinear equation
- A quasi-radial basis functions method for American options pricing.
- A reproducing kernel method with nodal interpolation property
- An improved reproducing kernel particle method for nearly incompressible finite elasticity
- An upwind approach for an American and European option pricing model
- European Option Pricing with Transaction Costs
- Extended double-stride \(L\)-stable methods for the numerical solution of ODEs
- Extrapolation of difference methods in option valuation
- Generalized trapezoidal formulas for the black–scholes equation of option pricing
- High-accuracy finite-difference methods for the valuation of options
- scientific article; zbMATH DE number 1243617 (Why is no real title available?)
- Numerical solution of Korteweg-de Vries equation by Galerkin B-spline finite element method
- Numerical solutions of the Burgers' equation by the least-squares quadratic B-spline finite element method
- On Feedback Effects from Hedging Derivatives
- On the completeness of meshfree particle methods
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Options valuation by using radial basis function approximation
- Perfect option hedging for a large trader
- Quadratic B-spline finite element method for numerical solution of the Burgers' equation
- Reproducing kernel element method. I: Theoretical formulation
- The Feedback Effect of Hedging in Illiquid Markets
- The Mathematics of Financial Derivatives
- The pricing of options and corporate liabilities
- Tools for computational finance.
- Toward non commutative numerical analysis: High order integration in time
- Weighted extended B-spline approximation of Dirichlet problems
Cited in
(16)- Cubic spline method for a generalized Black-Scholes equation
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- A highly accurate algorithm for retrieving the predicted behavior of problems with piecewise-smooth initial data
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- A fourth order numerical method based on B-spline functions for pricing Asian options
- A robust spline collocation method for pricing American put options
- A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
- B-spline solution of the Black-Scholes partial differential equation
- High-order exponential spline method for pricing European options
- Cubic B-spline collocation method for pricing European put option
- Radial-basis-function-based finite difference operator splitting method for pricing American options
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Collocation method based on modified cubic B-spline for option pricing models
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions
- Exponential B-spline collocation method with Richardson extrapolation for generalized Black-Scholes equation
- A fourth-order collocation scheme for generalized Black-Scholes model in financial decision-making
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