Error Analysis of Meshfree Approximation in Nonlinear Black-Scholes Model

On Nonlinear Black-Scholes Equations

This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versions arising in option pricing theory.

Confidence Interval for Solutions of the Black-Scholes Model

The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a significant role in investors deci-sion making in financial markets. In the present paper, the Black Scholes model in the prediction of stock on year later value, on using data from mel...

Spectral Approximation of Infinite-Dimensional Black-Scholes Equations with Memory

This paper considers the pricing of a European option using a B, S -market in which the stock price and the asset in the riskless bank account both have hereditary price structures described by the authors of this paper 1999 . Under the smoothness assumption of the payoff function, it is shown that the infinite dimensional Black-Scholes equation possesses a unique classical solution. A spectral...

Variations of the Black-Scholes model

Convergence Analysis of Meshfree Approximation Schemes

This work is concerned with the formulation of a general framework for the analysis of meshfree approximation schemes and with the convergence analysis of the local maximum-entropy (LME) scheme as a particular example. We provide conditions for the convergence in Sobolev spaces of schemes that are n-consistent in the sense of exactly reproducing polynomials of degree less than or equal to n ≥ 1...