Author： Khabir Mohmed H.M. Patidar Kailash C.
Publisher： Taylor & Francis Ltd
ISSN： 1023-6198
Source： Journal of Difference Equations and Applications, Vol.18, Iss.11, 2012-11, pp. : 1801-1816
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Abstract
In this paper we construct a numerical method based on spline approximations to solve a nonlinear Black-Scholes partial differential equation modelling European option pricing problem on a single asset. We use the classical Euler implicit method for the time discretization and a B-spline collocation method for the spatial discretization. The method is shown to be unconditionally stable and accurate of order
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