An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options

DOI10.1016/j.cam.2021.113774zbMath1471.91620OpenAlexW3196067894MaRDI QIDQ2231294

V. M. K. Prasad Goura, Pradip Roul

Publication date: 29 September 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.2021.113774

zbMATH Keywords

stabilityconvergenceAsian optionsdelta valueredefined cubic B-spline

Mathematics Subject Classification ID

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)

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Applying spline-based phase analysis to macroeconomic dynamics ⋮ Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes

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