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

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dc.contributor.authorFiněk, Václav
dc.date.accessioned2019-08-16T09:22:17Z
dc.date.available2019-08-16T09:22:17Z
dc.date.issued2018
dc.description.abstractThis 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.cs
dc.format.extent5 strancs
dc.identifier.doi10.1063/1.5082062
dc.identifier.urihttps://dspace.tul.cz/handle/15240/153222
dc.identifier.urihttps://aip.scitation.org/doi/pdf/10.1063/1.5082062?class=pdf
dc.language.isocscs
dc.relation.ispartofPROCEEDINGS OF THE 44TH INTERNATIONAL CONFERENCE "APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS"
dc.subjectoptionscs
dc.titleAdaptive Scheme for Black-Scholes Equation using Hermite Cubic Spline Waveletscs
dc.typeProceedings Paper
local.article.number30004
local.event.edate2018-06-13
local.event.locationSozopol, BULGARIA
local.event.sdate2018-06-06
local.event.title44th International Conference on Applications of Mathematics in Engineering and Economics
local.identifier.publikace7360
local.relation.volume2048
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