A fourth order numerical method based on B-spline functions for pricing Asian options
Pradip Roul
Topics & Concepts
MathematicsDiscretizationVariable (mathematics)Partial differential equationRate of convergenceApplied mathematicsNumerical analysisMathematical analysisOrder of accuracyQuartic functionAsian optionB-splineOrder (exchange)Convergence (economics)Collocation (remote sensing)Valuation of optionsNumerical stabilityGeologyPure mathematicsEconomic growthChannel (broadcasting)FinanceRemote sensingEconomicsEngineeringEconometricsElectrical engineeringDifferential Equations and Numerical MethodsStochastic processes and financial applicationsFractional Differential Equations Solutions