Spectral method for differential equations of degenerate type on unbounded domains by using generalized Laguerre functions

DOI10.1016/j.apnum.2006.07.032zbMath1119.65097OpenAlexW2072309170MaRDI QIDQ875530

Xiao-yong Zhang, Ben-yu Guo

Publication date: 13 April 2007

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2006.07.032

zbMATH Keywords

Galerkin methodnumerical examplesoption pricingunbounded domainsspectral methodsdegenerate parabolic equationsfinancial mathematical equationsgeneralized Laguerre functions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Degenerate parabolic equations (35K65) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Spherical harmonic-generalized Laguerre spectral method for exterior problems
• A Theory of the Term Structure of Interest Rates
• Some mathematical results in the pricing of American options
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• Generalized Laguerre Interpolation and Pseudospectral Method for Unbounded Domains
• A new generalized Laguerre spectral approximation and its applications
• Mixed Laguerre-Legendre spectral method for incompressible flow in an infinite strip

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