A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation

DOI10.1093/imanum/drs053zbMath1293.91191OpenAlexW2144051128MaRDI QIDQ5398455

Mohan K. Kadalbajoo, Lok Pati Tripathi, Puneet Kumar Arora

Publication date: 28 February 2014

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/drs053

zbMATH Keywords

finite difference methodGreen's functionoption pricingmethod of linesBlack-Scholes equationB-spline collocationGreville abscissae

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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