A sixth order numerical method and its convergence for generalized Black–Scholes PDE
Pradip Roul, V.M.K. Prasad Goura
Topics & Concepts
MathematicsDiscretizationCollocation (remote sensing)Numerical analysisConvergence (economics)Variable (mathematics)Applied mathematicsSpline (mechanical)Black–Scholes modelCollocation methodB-splineM-splineMathematical optimizationMathematical analysisThin plate splineDifferential equationComputer scienceSpline interpolationMachine learningEconomicsEconomic growthStatisticsBilinear interpolationEconometricsVolatility (finance)Structural engineeringEngineeringOrdinary differential equationFractional Differential Equations SolutionsDifferential Equations and Numerical MethodsIterative Methods for Nonlinear Equations