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High-order exponential spline method for pricing European options - MaRDI portal

High-order exponential spline method for pricing European options (Q4646565)

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scientific article; zbMATH DE number 7001134

Language	Label	Description	Also known as
English	High-order exponential spline method for pricing European options	scientific article; zbMATH DE number 7001134

Statements

scholarly article

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High-order exponential spline method for pricing European options (English)

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zbMATH Open document ID

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10.1080/10236198.2018.1543414

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Journal of Difference Equations and Applications

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publication date

14 January 2019

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

European option pricing

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Black-Scholes equation

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exponential spline

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finite difference

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convergence

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10236198.2018.1543414

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A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion

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Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing

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Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing

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The Pricing of Options and Corporate Liabilities

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A robust and accurate finite difference method for a generalized Black-Scholes equation

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Generalized trapezoidal formulas for the black–scholes equation of option pricing

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High-accuracy finite-difference methods for the valuation of options

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Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options

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A numerical method for European option pricing with transaction costs nonlinear equation

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A high-order finite difference method for option valuation

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Radial basis functions with application to finance: American put option under jump diffusion

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Options valuation by using radial basis function approximation

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The homotopy perturbation method for the Black–Scholes equation

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Option pricing with Legendre polynomials

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A quasi-radial basis functions method for American options pricing.

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A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation

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A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation

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Spline approximation method to solve an option pricing problem

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On the smoothing property of the crank-nicolson scheme

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Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing

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Finite element solution of diffusion problems with irregular data

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Modified B-spline collocation approach for pricing American style Asian options

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Tools for computational finance.

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An upwind approach for an American and European option pricing model

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The Mathematics of Financial Derivatives

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mardi Publication:4646565

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