High order approximation of derivatives with applications to pricing of financial derivatives

DOI10.1016/j.cam.2021.113675zbMath1486.65212OpenAlexW3172266083MaRDI QIDQ2043182

Xiang Wang, Jichun Li, Jessica C. Li

Publication date: 29 July 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113675

zbMATH Keywords

radial basis functionBlack-Scholes equationhigh-order compact finite difference methodoption pricing models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) 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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical radial basis function approximation (65D12)

Related Items

Accurate derivatives approximations and applications to some elliptic PDEs using HOC methods, A new options pricing method: semi-stochastic kernel regression method with constraints, Approximation of the derivatives beyond Taylor expansion

Uses Software

• Matlab

Cites Work

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