Space-time kernel based numerical method for generalized Black-Scholes equation

DOI10.3934/DCDSS.2020221zbMATH Open1455.65197OpenAlexW2995690577WikidataQ126395498 ScholiaQ126395498MaRDI QIDQ827488FDOQ827488

Hazrat Ali, Marjan Uddin

Publication date: 12 January 2021

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdss.2020221

zbMATH Keywords

meshless methodBlack-Scholes equationradial kernelsspace-time numerical scheme

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for sparse matrices (65F50) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Cites Work

• Kernel-based Approximation Methods using MATLAB
• Title not available (Why is that?)
• Spectral Methods
• Title not available (Why is that?)
• Boundary Element Methods
• On choosing ``optimal shape parameters for RBF approximation
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• Space-time finite element techniques for computation of fluid-structure interactions
• Space-time discontinuous Galerkin method for the compressible Navier--Stokes equations
• The localized RBFs collocation methods for solving high dimensional PDEs
• Time-dependent fundamental solutions for homogeneous diffusion problems
• Space-time discontinuous Galerkin method for advection-diffusion problems on time-dependent domains
• Space-time discontinuous Galerkin finite element method for shallow water flows
• A space-time meshfree collocation method for coupled problems on irregularly-shaped domains
• The finite volume method in computational fluid dynamics. An advanced introduction with OpenFOAM and Matlab
• Global space-time multiquadric method for inverse heat conduction problem
• Numerical solution of the time fractional Black-Scholes model governing European options
• Space-time localized radial basis function collocation method for solving parabolic and hyperbolic equations
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
• The space-time kernel-based numerical method for Burgers' equations

Uses Software

• Matlab
• GaussQR

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