Collocation method based on modified cubic B-spline for option pricing models
نویسندگان
چکیده
A collocation method based on modified cubic B-spline functions has been developed for the valuation of European, American and barrier options of a single asset. The new approach contains discretization of temporal derivative using finite difference approximation of and approximating the option price with the modified B-spline functions. Stability of this method has been discussed and it is shown that it is unconditionally stable. The efficiency of the proposed method is tested by different examples. AMS subject classifications: 35K99, 41A15, 65M12
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