A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models

DOI10.1016/j.enganabound.2023.01.022zbMath1521.91384MaRDI QIDQ6044013

Marco Donatelli, Mostafa Abbaszadeh, Yasmin Kalhor, Mehdi Dehghan

Publication date: 25 May 2023

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

zbMATH Keywords

pseudospectral methodproper orthogonal decomposition methodBlack-Scholes model and stock pricecubic B-spline function and collocation methodEuropean put and call optionsoption pricing under jump-diffusion

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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