Collocation method based on modified ‎cubic‎ B-spline ‎for option pricing ‎models
Rashidinia, Jalil ; Jamalzadeh, Sanaz
Mathematical Communications, Tome 22 (2017) no. 1, p. 89-102 / Harvested from Mathematical Communications
Text on Mathematical Communications
Collocation‎‎ ‎method ‎based ‎on ‎modified‎ cubic B-spline functions ‎has ‎been ‎developed‎ ‎for ‎the ‎valuation ‎‎‎of European‎, ‎American and Barrier options of single ‎asset. ‎The ‎new ‎approach ‎contains ‎‎discretizing ‎of‎ t‎‎emporal ‎derivative‎ ‎using ‎finite ‎difference ‎approximations ‎and ‎approximating‎ the option price with the ‎modified‎ B-spline functions‎. ‎Stability of this method has been discussed and shown that it is unconditionally stable‎. ‎The ‎efficiency ‎of ‎the‎ ‎proposed ‎method ‎is ‎tested ‎by ‎different ‎examples‎‎‎.‎
Publié le : 2017-02-17
Classification:  Options ‎Pricing;‎ Redefined Cubic B-‎spline;‎ Stability,  35K99‎;‎ 41A15‎;‎ 65M12 
@article{mc1156,
     author = {Rashidinia, Jalil and Jamalzadeh, Sanaz},
     title = {Collocation method based on modified cubic B-spline for option pricing models},
     journal = {Mathematical Communications},
     volume = {22},
     number = {1},
     year = {2017},
     pages = { 89-102},
     language = {eng},
     url = {http://dml.mathdoc.fr/item/mc1156}
}

Rashidinia, Jalil; Jamalzadeh, Sanaz. Collocation method based on modified ‎cubic‎ B-spline ‎for option pricing ‎models. Mathematical Communications, Tome 22 (2017) no. 1, pp.  89-102. http://gdmltest.u-ga.fr/item/mc1156/