2018
DOI: 10.1016/j.amc.2017.10.004
|View full text |Cite
|
Sign up to set email alerts
|

Numerical solution of generalized Black–Scholes model

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
3
1

Citation Types

0
4
0

Year Published

2019
2019
2024
2024

Publication Types

Select...
6
1

Relationship

0
7

Authors

Journals

citations
Cited by 13 publications
(4 citation statements)
references
References 27 publications
0
4
0
Order By: Relevance
“…The computational domain is fixed on x ∈ ½−2, 2. Tables 3 and 4 give the errors, orders of convergence, and CPU times for the D1Q5 model and HODIE scheme [26] for the BSE, respectively. By comparing the above results, it is shown that our proposed algorithm is more stable and efficient than the HODIE scheme.…”
Section: Numerical Simulationsmentioning
confidence: 99%
See 1 more Smart Citation
“…The computational domain is fixed on x ∈ ½−2, 2. Tables 3 and 4 give the errors, orders of convergence, and CPU times for the D1Q5 model and HODIE scheme [26] for the BSE, respectively. By comparing the above results, it is shown that our proposed algorithm is more stable and efficient than the HODIE scheme.…”
Section: Numerical Simulationsmentioning
confidence: 99%
“…For instance, Cen and Le [25] presented a robust and accurate finite difference method with spatial second-order accuracy for a generalized BSE based on a central difference spatial discretization on a piecewise uniform mesh and an implicit time-stepping technique. The method proposed by Rao [26] uses the high-order difference approximation with identity expansion (HODIE) scheme in the spatial direction and the two-step backward differentiation formula in the temporal direction, which has second-order convergence in space as well as in time. Roul and Goura [27] proposed a high-order compact finite difference method based on a uniform mesh to obtain a highly accurate result for a generalized BSE.…”
Section: Introductionmentioning
confidence: 99%
“…The present methodology is used to value European or American options, and European style options are accessible for trade on Indian exchanges. In financial mathematics, both the theoretical and practical approaches to this topic play an essential role Aguilar and Korbel (2018), Akrami and Erjaee (2016), Al-Zhour et al (2019), Ankudinova and Ehrhardt (2008), Cen et al (2018), Chen et al (2018), Company et al (2006Company et al ( , 2007Company et al ( , 2008, Contreras et al (2010), De Staelen and Hendy (2017), Dehghan et al (2017), Dubey et al (2019), Edeki et al (2017), Fall et al (2019, Ghandehari and Ranjbar (2014), Golbabai et al (2013Golbabai et al ( , 2019, Haq and Hussain (2018), Hu and Gan (2018), Kanth and Aruna (2016), Karipova and Magdziarz (2017), Khan and Ansari (2016), Kumar et al (2014Kumar et al ( , 2012, € Ozdemir and Yavuz (2017), Phaochoo et al (2016), Rao et al (2016Rao et al ( , 2018, Sawangtong et al (2018), Shokrollahi (2018), Song and Wang (2013), Yavuz and € Ozdemir (2018a, b), Zhang et al (2016). The main theory of the BS model allows a riskless portfolio comprising bonds, options and the underlying stock to remove resultant risk.…”
Section: Introductionmentioning
confidence: 99%
“…(2016), Rao et al. (2016, 2018), Sawangtong et al. (2018), Shokrollahi (2018), Song and Wang (2013), Yavuz and Özdemir (2018a, b), Zhang et al.…”
Section: Introductionmentioning
confidence: 99%