Generalized Jacobi reproducing kernel method in Hilbert spaces for solving the Black-Scholes option pricing problem arising in financial modelling
Based on the reproducing kernel Hilbert space method, a new approach is proposed to approximate the solution of the Black-Scholes equation with Dirichlet boundary conditions and introduce the reproducing kernel properties in which the initial conditions of the problem are satisfied. Based on reprod...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2018-10-01
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| Series: | Mathematical Modelling and Analysis |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/MMA/article/view/4919 |