Izvorni znanstveni članak
Collocation method based on modified cubic B-spline for option pricing models
Jalil Rashidinia
; School of Mathematics, Iran University of Science and Technology, Narmak, Tehran, Iran
Sanaz Jamalzadeh
; School of Mathematics, Iran University of Science and Technology, Narmak, Tehran, Iran
Sažetak
Collocation method based on modified cubic B-spline functions has been developed for the valuation of European, American and Barrier options of single asset. The new approach contains discretizing of temporal derivative using finite difference approximations and approximating the option price with the modified B-spline functions. Stability of this method has been discussed and shown that it is unconditionally stable. The efficiency of the proposed method is tested by different examples.
Ključne riječi
Options Pricing; Redefined Cubic B-spline; Stability
Hrčak ID:
176726
URI
Datum izdavanja:
4.4.2017.
Posjeta: 1.578 *