کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5776137 1631963 2018 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Option pricing using a computational method based on reproducing kernel
ترجمه فارسی عنوان
قیمت گذاری گزینه با استفاده از یک روش محاسباتی بر اساس بازتولید هسته
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
چکیده انگلیسی

One of the most important subject in financial mathematics is the option pricing. The most famous result in this area is Black-Scholes formula for pricing European options. This paper is concerned with a method for solving a generalized Black-Scholes equation in a reproducing kernel Hilbert space. Subsequently, the convergence of the proposed method is studied under some hypotheses which provide the theoretical basis of the proposed method. Furthermore, the error estimates for obtained approximation in reproducing kernel Hilbert space are presented. Finally, a numerical example is considered to illustrate the computation efficiency and accuracy of the proposed method.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 328, 15 January 2018, Pages 252-266
نویسندگان
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