Multinode Shepard collocation method for pricing of financial derivatives
Numerical Analysis
2025-08-12 v1 Numerical Analysis
Abstract
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.
Cite
@article{arxiv.2508.08023,
title = {Multinode Shepard collocation method for pricing of financial derivatives},
author = {Francesco Dell'Accio and Filomena Di Tommaso and Elisa Francomano and Clara Lorenzi},
journal= {arXiv preprint arXiv:2508.08023},
year = {2025}
}