Name
Abstract | ||
|---|---|---|
Several methods have been proposed in the literature for solving the Black–Scholes equation for European Options. The method proposed in the current study achieves spectral accuracy in both space and time. The method is based on minimization of a functional given in terms of the sum of squares of the residuals in the partial differential equation and initial condition in different Sobolev norms, and a term which measures the jump in the function and its derivatives across inter-element boundaries in appropriate fractional Sobolev norms. To obtain values of the solution and its derivatives the initial condition is mollified and the computed solution is post processed. Error estimates are obtained for this method. Specific numerical examples are given to show the efficiency of this method. |
Year | DOI | Venue |
|---|---|---|
2015 | 10.1016/j.camwa.2015.04.019 | Computers & Mathematics with Applications |
Keywords | Field | DocType |
Black–Scholes equation,Hermite mollifier,Least-Squares method,Domain decomposition,Parallel preconditioners,Exponential accuracy | Least squares,Mathematical optimization,Mathematical analysis,Sobolev space,Minification,Initial value problem,Explained sum of squares,Partial differential equation,Domain decomposition methods,Mathematics,Spectral element method | Journal |
Volume | Issue | ISSN |
70 | 1 | 0898-1221 |
Citations | PageRank | References |
2 | 0.41 | 5 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Arbaz Khan | 1 | 15 | 3.46 |
| Pravir Dutt | 2 | 4 | 1.48 |
| C. S. Upadhyay | 3 | 10 | 2.65 |