%0 Journal Article
%T Collocation method based on modified £¿cubic£¿ B-spline £¿for option pricing £¿models
%A Jamalzadeh
%A Sanaz
%A Rashidinia
%A Jalil
%J -
%D 2017
%X Sa£¿etak 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£¿ t£¿£¿emporal £¿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£¿£¿£¿.
%K Options £¿Pricing
%K £¿ Redefined Cubic B-£¿spline
%K £¿ Stability
%U https://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=260509