High-order exponential spline method for pricing European options

DOI10.1080/10236198.2018.1543414zbMath1419.91653OpenAlexW2900683262WikidataQ115550413 ScholiaQ115550413MaRDI QIDQ4646565

Reza Mohammadi

Publication date: 14 January 2019

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2018.1543414

zbMATH Keywords

convergencefinite differenceBlack-Scholes equationEuropean option pricingexponential spline

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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