Sinc methods are now recognized as an efficient numerical method for problems whose solutions may have singularities, or infinite domains, or boundary layers. This work deals with the sinc-collocation ...

Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included for comparison.

1 Department of Mathematics, University of Dhaka, Dhaka, Bangladesh. 2 Institute of Natural Sciences, United International University, Dhaka, Bangladesh. Due to the ability to model various complex ...

Abstract: In this paper, we present a robust and accurate numerical method for solving the generalized Black–Scholes equation governing option pricing. We use a horizontal method of lines to ...

Research & Development Institute of Northwestern, Polytechnical University, Shenzhen, Guangdong 518057, P. R. China Xi’an Key Laboratory of Scientific Computation and Applied Statistics, Northwestern ...