Spline approximation method to solve an option pricing problem

DOI10.1080/10236198.2011.596150zbMath1254.91748OpenAlexW2081108726MaRDI QIDQ4899077

Mohmed H. M. Khabir, Kailash C. Patidar

Publication date: 4 January 2013

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

Full work available at URL: https://doi.org/10.1080/10236198.2011.596150

zbMATH Keywords

convergence analysisoption pricingBlack-Scholes equationB-spline collocation

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) General theory of difference equations (39A05)

Related Items (9)

Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters ⋮ A fourth order numerical method based on B-spline functions for pricing Asian options ⋮ Cubic spline method for a generalized Black-Scholes equation ⋮ High-order exponential spline method for pricing European options ⋮ Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing ⋮ A robust spline collocation method for pricing American put options ⋮ A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option ⋮ A highly accurate algorithm for retrieving the predicted behavior of problems with piecewise-smooth initial data ⋮ Radial-basis-function-based finite difference operator splitting method for pricing American options

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