Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations
DOI10.3934/math.2019.4.1046zbMath1484.91514OpenAlexW2968650664WikidataQ127366556 ScholiaQ127366556MaRDI QIDQ2127812
Fereshteh Goldoust, Jafar Biazar
Publication date: 21 April 2022
Published in: AIMS Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/math.2019.4.1046
stochastic differential equationoption pricingBlack-Scholes equationLegendre wavelet methodfinance equationsHeston Cox-Ingersoll-Ross equation
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Cites Work
- A Jump-Diffusion Model for Option Pricing
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