Isogeometric analysis in option pricing
From MaRDI portal
Publication:5031706
DOI10.1080/00207160.2018.1494826zbMath1499.35603arXiv1910.00258OpenAlexW2809865636WikidataQ129608774 ScholiaQ129608774MaRDI QIDQ5031706
Jan Pospíšil, Vladimír Švígler
Publication date: 16 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.00258
Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Integro-partial differential equations (35R09)
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Enhanced domain decomposition Schwarz solution schemes for isogeometric collocation methods ⋮ Solution of option pricing equations using orthogonal polynomial expansion.
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Cites Work
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