Spline approximation method to solve an option pricing problem

DOI10.1080/10236198.2011.596150zbMath1254.91748MaRDI QIDQ4899077

Kailash C. Patidar, Mohmed H. M. Khabir

Publication date: 4 January 2013

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2011.596150

zbMATH Keywords

convergence analysis; option pricing; Black-Scholes equation; B-spline collocation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

39A05: General theory of difference equations