Pricing American bond options using a cubic spline collocation method
نویسندگان
چکیده
منابع مشابه
Fourth Order Accuracy for a Cubic Spline Collocation Method
This note is inspired by the paper of Bialecki, Fairweather, and Bennett [1] which studies a method for the numerical solution of u00 = f on an interval, and u = f on a rectangle, with zero boundary data; their scheme calculates that C piecewise cubic U for which U 00 (or U) agrees with f at the two (or four) Gauss quadrature points of each subdivision of the original domain. They observe that ...
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ژورنال
عنوان ژورنال: Boletim da Sociedade Paranaense de Matemática
سال: 2014
ISSN: 2175-1188,0037-8712
DOI: 10.5269/bspm.v32i2.21354