Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials
DOI10.1007/S40096-021-00439-9zbMATH Open1519.91288OpenAlexW3206905946MaRDI QIDQ6156280FDOQ6156280
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Publication date: 13 June 2023
Published in: Mathematical Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40096-021-00439-9
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convergenceLegendre polynomialsstabilitycollocation methodtime fractional Black-Scholes modelsquare interpolation
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05) Fractional partial differential equations (35R11)
Cites Work
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Cited In (8)
- Option pricing with Legendre polynomials
- Numerical and analytical solution to a conformable fractional Fornberg-Whitham equation
- Numerical analysis of fractional order Black-Scholes option pricing model with band equation method
- Spectrally accurate option pricing under the time-fractional Black-Scholes model
- Estimate of the fractional advection-diffusion equation with a time-fractional term based on the shifted Legendre polynomials
- Approximate price of the option under discretization by applying fractional quadratic interpolation
- Some properties of Legendre polynomials and an approximate solution of the Black-Scholes equation governing option pricing
- Pricing European two-asset option using the spectral method with second-kind Chebyshev polynomials
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