Space-time kernel based numerical method for generalized Black-Scholes equation
DOI10.3934/DCDSS.2020221zbMATH Open1455.65197OpenAlexW2995690577WikidataQ126395498 ScholiaQ126395498MaRDI QIDQ827488FDOQ827488
Authors: Marjan Uddin, Hazrat Ali 
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
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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
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- 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
Cited In (6)
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- Generalized Jacobi reproducing kernel method in Hilbert spaces for solving the Black-Scholes option pricing problem arising in financial modelling
- Numerical solution of generalized Black-Scholes model
- A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
- Approximation of time fractional Black-Scholes equation via radial kernels and transformations
Uses Software
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