Multinode Shepard collocation method for pricing of financial derivatives
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arXiv
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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | |
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| _version_ | 1866909732393975808 |
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| author | Dell'Accio, Francesco Di Tommaso, Filomena Francomano, Elisa Lorenzi, Clara |
| author_facet | Dell'Accio, Francesco Di Tommaso, Filomena Francomano, Elisa Lorenzi, Clara |
| contents | This paper explores the use of the multinode Shepard method for the numerical solution of the two-dimensional Black-Scholes equation. The proposed approach integrates a spatial approximation via the multinode Shepard operator with a temporal discretization based on the Backward Difference Formula. Numerical experiments are presented to demonstrate the accuracy and effectiveness of the method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_08023 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Multinode Shepard collocation method for pricing of financial derivatives Dell'Accio, Francesco Di Tommaso, Filomena Francomano, Elisa Lorenzi, Clara Numerical Analysis This paper explores the use of the multinode Shepard method for the numerical solution of the two-dimensional Black-Scholes equation. The proposed approach integrates a spatial approximation via the multinode Shepard operator with a temporal discretization based on the Backward Difference Formula. Numerical experiments are presented to demonstrate the accuracy and effectiveness of the method. |
| title | Multinode Shepard collocation method for pricing of financial derivatives |
| topic | Numerical Analysis |
| url | https://arxiv.org/abs/2508.08023 |