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

DOI10.1007/s00009-017-0913-yzbMath1377.91167OpenAlexW2605195398MaRDI QIDQ1674181

Jalil Rashidinia, Sanaz Jamalzadeh

Publication date: 1 November 2017

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00009-017-0913-y

zbMATH Keywords

stability analysisoption pricingbi-cubic b-splinetwo-dimensional Black-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Spline approximation (41A15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

High-order exponential spline method for pricing European options, A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model, A robust spline collocation method for pricing American put options, Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market

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