Cubic spline method for a generalized Black-Scholes equation
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Publication:1718497
DOI10.1155/2014/484362zbMath1407.91271OpenAlexW2135854428WikidataQ59067559 ScholiaQ59067559MaRDI QIDQ1718497
Publication date: 8 February 2019
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/484362
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Related Items (3)
An accurate solution for the generalized Black-Scholes equations governing option pricing ⋮ A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance ⋮ Richardson extrapolation technique for generalized Black-Scholes PDEs for European options
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