Approximate price of the option under discretization by applying quadratic interpolation and Legendre polynomials

DOI10.1007/s40096-021-00439-9zbMath1519.91288OpenAlexW3206905946MaRDI QIDQ6156280

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Publication date: 13 June 2023

Published in: Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40096-021-00439-9

zbMATH Keywords

stabilityconvergencecollocation methodLegendre polynomialstime fractional Black-Scholes modelsquare interpolation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05) Fractional partial differential equations (35R11)

Related Items (2)

PRICING EUROPEAN TWO-ASSET OPTION USING THE SPECTRAL METHOD WITH SECOND-KIND CHEBYSHEV POLYNOMIALS ⋮ Unnamed Item

Cites Work

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