Cargando…
A numerical study of the European option by the MLPG method with moving kriging interpolation
In this paper, the meshless local Petrov–Galerkin (MLPG) method is applied for solving a generalized Black–Scholes equation in financial problems. This equation is a PDE governing the price evolution of a European call or a European put under the Black–Scholes model. The θ-weighted method and MLPG a...
| Autores principales: | , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer International Publishing
2016
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4783319/ https://www.ncbi.nlm.nih.gov/pubmed/27064892 http://dx.doi.org/10.1186/s40064-016-1947-5 |