Adaptive Scheme for Black-Scholes Equation using Hermite Cubic Spline Wavelets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F46747885%3A24510%2F18%3A00007360" target="_blank" >RIV/46747885:24510/18:00007360 - isvavai.cz</a>
Result on the web
<a href="https://aip.scitation.org/doi/10.1063/1.5082062" target="_blank" >https://aip.scitation.org/doi/10.1063/1.5082062</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Adaptive Scheme for Black-Scholes Equation using Hermite Cubic Spline Wavelets
Original language description
This contribution is devoted to the wavelet based adaptive numerical solution of the Black-Scholes equation for pricing European options. We apply the Crank-Nicolson scheme with Richardson extrapolation for time discretization and Hermite cubic spline wavelets with four vanishing moments for space discretization. The proposed scheme enables higher order approximation and exploits compression properties of wavelets. This scheme is the fourth order accurate both in time and in space. A numerical example is presented for the Black-Scholes equation with real data.
Czech name
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Czech description
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Project
<a href="/en/project/GA16-09541S" target="_blank" >GA16-09541S: Robust numerical schemes for pricing of selected options under various market conditions</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
PROCEEDINGS OF THE 44TH INTERNATIONAL CONFERENCE "APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS"
ISBN
978-0-7354-1774-8
ISSN
0094-243X
e-ISSN
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Number of pages
4
Pages from-to
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Publisher name
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Place of publication
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Event location
Sozopol, BULGARIA
Event date
Jan 1, 2018
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000468108800044

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