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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...
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| Publicado no: | Springerplus |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Springer International Publishing
2016
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4783319/ https://ncbi.nlm.nih.gov/pubmed/27064892 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1186/s40064-016-1947-5 |
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