A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models (Q6044013)
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scientific article; zbMATH DE number 7688906
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models |
scientific article; zbMATH DE number 7688906 |
Statements
A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models (English)
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25 May 2023
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cubic B-spline function and collocation method
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pseudospectral method
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proper orthogonal decomposition method
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Black-Scholes model and stock price
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option pricing under jump-diffusion
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European put and call options
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