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

DOI10.3934/dcdss.2020221zbMath1455.65197OpenAlexW2995690577WikidataQ126395498 ScholiaQ126395498MaRDI QIDQ827488

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

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

Uses Software

• Matlab
• GaussQR

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Space-time discontinuous Galerkin method for advection-diffusion problems on time-dependent domains
• Space-time discontinuous Galerkin finite element method for shallow water flows
• Space-time localized radial basis function collocation method for solving parabolic and hyperbolic equations
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
• Numerical solution of the time fractional Black-Scholes model governing European options
• The finite volume method in computational fluid dynamics. An advanced introduction with OpenFOAM and Matlab
• Space-time finite element techniques for computation of fluid-structure interactions
• The localized RBFs collocation methods for solving high dimensional PDEs
• On choosing ``optimal shape parameters for RBF approximation
• Time-dependent fundamental solutions for homogeneous diffusion problems
• Space-time discontinuous Galerkin method for the compressible Navier--Stokes equations
• Kernel-based Approximation Methods using MATLAB
• Global space-time multiquadric method for inverse heat conduction problem
• Spectral Methods
• Boundary Element Methods
• The space-time kernel-based numerical method for Burgers' equations

This page was built for publication: Space-time kernel based numerical method for generalized Black-Scholes equation