An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options

被引：4
作者：
Roul, Pradip [1 ]
Goura, V. M. K. Prasad [1 ,2 ]
机构：
[1] VNIT, Dept Math, Nagpur 440010, Maharashtra, India
[2] Amrita Vishwa Vidyapeetham, Dept Math, Amrita Sch Engn, Coimbatore 641112, Tamil Nadu, India
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2022年 / 401卷
关键词：
Asian options; Redefined cubic B-spline; Stability; Convergence; Delta value; FINITE-DIFFERENCE SCHEME; COLLOCATION METHOD; MESH;
D O I：
10.1016/j.cam.2021.113774
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we present a collocation method based on redefined cubic B-spline basis functions for solving Asian option pricing problem. The stability and convergence analysis of the present method are studied. The method is proved to be unconditionally stable and has second-order convergence with respect to space variable. Numerical experiment is performed to validate the theoretical results and demonstrate the applicability of the method. The option and delta values for various values of volatilities and interest rates are computed. Convergence of the delta values is analyzed. The obtained results are compared with the existing ones to show the advantage of our method. (C) 2021 Elsevier B.V. All rights reserved.
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页数：17
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