Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems-Reference-Cited by-同舟云学术

Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems

Published:2019-12 Issue:12 Volume:78 Page:3770-3789
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Thakoor Nawdha^ORCID

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modeling and Simulation

Reference37 articles.

1. Numerical pricing of options using high-order compact finite difference schemes;Tangman;J. Comput. Appl. Math.,2008

2. A new fourth-order numerical scheme for option pricing under the CEV model;Thakoor;Appl. Math. Lett.,2013

3. Efficient and high accuracy pricing of barrier options under the CEV diffusion;Thakoor;J. Comput. Appl. Math.,2014

4. High-order compact finite difference schemes for option pricing in stochastic volatility models;Düring;J. Comput. Appl. Math.,2012

5. High-order compact finite difference scheme for option pricing in stochastic volatility models on non-uniform grids;Düring;J. Comput. Appl. Math.,2014

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