A Cubic B-Spline Collocation Method for Barrier Options under the CEV Model
نویسندگان
چکیده
In this paper, we construct a new numerical algorithm for the partial differential equation of up-and-out put barrier options under CEV model. method, use Crank-Nicolson scheme to discrete temporal variables and cubic B-spline collocation method spatial variables. The is stable has second-order convergence both time space analysis proposed discussed in detail. Finally, examples verify stability accuracy method.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2023
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math11183979