A cubic B-spline collocation method for a numerical solution of the generalized Black–Scholes equation-Reference-Cited by-同舟云学术

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A cubic B-spline collocation method for a numerical solution of the generalized Black–Scholes equation

Published:2012-02 Issue:3-4 Volume:55 Page:1483-1505
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Kadalbajoo Mohan K.,Tripathi Lok Pati,Kumar Alpesh

Funder

Council of Scientific and Industrial Research (CSIR)

Publisher

Elsevier BV

Subject

Computer Science Applications,Modeling and Simulation

Reference36 articles.

1. The pricing of options and corporate liabilities;Black;J. Polit. Econ.,1973

2. Theory of rational option pricing;Merton;Bell J. Econ.,1973

3. Tools for Computational Finance;Seydel,2004

4. Pricing Financial Instruments: The Finite Difference Method;Tavella,2000

5. The Mathematics of Financial Derivatives;Wilmott,1997

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