Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
DOI10.1016/J.AMC.2022.127168OpenAlexW4223966733MaRDI QIDQ2141232
Publication date: 23 May 2022
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2022.127168
free boundary problemoption pricingnon-smooth functionBlack-Scholes modelorthogonal splinesRannacher scheme
Numerical computation using splines (65D07) Numerical smoothing, curve fitting (65D10) Computational methods for sparse matrices (65F50) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical differentiation (65D25) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)
Uses Software
Cites Work
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