An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options
Roul, Pradip 1Goura, V. M. K. Prasad1
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作者信息
1. VNIT
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Abstract
In this paper, we present a collocation method based on redefined cubic B-spline basis functions for solving Asian option pricing problem. The stability and convergence analysis of the present method are studied. The method is proved to be unconditionally stable and has second-order convergence with respect to space variable. Numerical experiment is performed to validate the theoretical results and demonstrate the applicability of the method. The option and delta values for various values of volatilities and interest rates are computed. Convergence of the delta values is analyzed. The obtained results are compared with the existing ones to show the advantage of our method. (C) 2021 Elsevier B.V. All rights reserved.
Key words
Asian options/Redefined cubic B-spline/Stability/Convergence/Delta value/FINITE-DIFFERENCE SCHEME/COLLOCATION METHOD/MESH
NSTL
Elsevier