Adaptive wavelet precise integration method for nonlinear Black-Scholes model based on variational iteration method

DOI10.1155/2013/735919zbMath1275.65072OpenAlexW1968752421WikidataQ58916808 ScholiaQ58916808MaRDI QIDQ370164

Huahong Yan

Publication date: 19 September 2013

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/735919

zbMATH Keywords

numerical stabilityBlack-Scholes modelnumerical resultvariational iteration methodadaptive wavelet precise integration methodnonlinear matrix differential equationpricing options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Numerical methods for wavelets (65T60) Nonlinear higher-order PDEs (35G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (6)

A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Construction of interval Shannon wavelet and its application in solving nonlinear Black-Scholes equation ⋮ Faber-Schauder wavelet sparse grid approach for option pricing with transactions cost ⋮ Interval wavelet numerical method on Fokker-Planck equations for nonlinear random system ⋮ Interval Shannon wavelet collocation method for fractional Fokker-Planck equation ⋮ Point-symmetric extension-based interval Shannon-cosine spectral method for fractional PDEs

Cites Work

• Stochastic moment problem and hedging of generalized Black-Scholes options
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• Variational iteration method: New development and applications
• Coupling technique of variational iteration and homotopy perturbation methods for nonlinear matrix differential equations
• Linearized perturbation method for stochastic analysis of a rill erosion model
• Adaptive interval wavelet precise integration method for partial differential equations
• Modified variational iteration method for free-convective boundary-layer equation using Padé approximation
• Variational iteration method for \(q\)-difference equations of second order
• Variational iteration method for the Burgers' flow with fractional derivatives -- new Lagrange multipliers
• A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
• Asymptotic methods for solitary solutions and compactons
• Asymptotic numerical method for multi-degree-of-freedom nonlinear dynamic systems
• Variational iteration method for autonomous ordinary differential systems

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