Spectral method for differential equations of degenerate type on unbounded domains by using generalized Laguerre functions
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Publication:875530
DOI10.1016/j.apnum.2006.07.032zbMath1119.65097MaRDI QIDQ875530
Publication date: 13 April 2007
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2006.07.032
Galerkin method; numerical examples; option pricing; unbounded domains; spectral methods; degenerate parabolic equations; financial mathematical equations; generalized Laguerre functions
91G60: Numerical methods (including Monte Carlo methods)
35K65: Degenerate parabolic equations
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
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