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- Title
A Cubic B-Spline Collocation Method for Barrier Options under the CEV Model.
- Authors
Yu, Xiwei; Hu, Qing; Sun, Yudong
- Abstract
In this paper, we construct a new numerical algorithm for the partial differential equation of up-and-out put barrier options under the CEV model. In this method, we use the Crank-Nicolson scheme to discrete temporal variables and the cubic B-spline collocation method to discrete spatial variables. The method is stable and has second-order convergence for both time and space variables. The convergence analysis of the proposed method is discussed in detail. Finally, numerical examples verify the stability and accuracy of the method.
- Subjects
PARTIAL differential equations; OPTIONS (Finance); COLLOCATION methods; CRANK-nicolson method
- Publication
Mathematics (2227-7390), 2023, Vol 11, Issue 18, p3979
- ISSN
2227-7390
- Publication type
Article
- DOI
10.3390/math11183979