An efficient robust computational method for solving Black-Scholes PDEs Saurabh Bansal, Natesan Srinivasan Mathematical Communications, 2025 In this article, we propose a computational method for the numerical solution of Black-Scholes PDEs arising in option pricing. First, we discretize the time-domain by uniform mesh and apply the Crank-Nicolson method to approximate the time variable. Then, we use the streamline-diffusion finite element method (SDFEM) for the spatial derivative on different nonuniform meshes. The proposed method is of second-order convergent in both variables. For comparison purposes, we use the backward-Euler scheme for the time derivative, which will be of first-order convergent. Numerical experiments are carried out to verify theoretical results.
Physics-informed neural network for option pricing weather derivatives model S Bansal, P Boro, S Natesan Computers & Mathematics with Applications 200, 1-21 , 2025 2025 Citations: 2
An efficient and robust computational approach to passport option pricing PDEs S Bansal, S Natesan Decisions in Economics and Finance 48 (2), 1931-1956 , 2025 2025
Application of physics informed neural networks to partial integro-differential equations in financial modeling and decision making S Bansal, P Boro, N Srinivasan Applied Soft Computing, 114208 , 2025 2025 Citations: 3
An efficient robust computational method for solving Black-Scholes PDEs S Bansal, S Natesan Mathematical Communications 30 (2), 191-205 , 2025 2025
A Stabilized Finite Element Method for Solving Black–Scholes PDEs with Applications to Lookback Options S Bansal, S Natesan Indian Journal of Pure and Applied Mathematics, 1-19 , 2025 2025
A novel higher-order efficient computational method for pricing European and Asian options S Bansal, S Natesan Numerical Algorithms 99 (3), 1127-1159 , 2025 2025 Citations: 11
An accurate and stable numerical method for pricing Asian options S Bansal, S Natesan Methodology and Computing in Applied Probability 27 (2), 50 , 2025 2025 Citations: 1
Numerical Solution of Passport Option Pricing Problem with Polynomial Neural Networks S Badireddi, S Bansal, S Natesan Computational Economics, 1-32 , 2025 2025 Citations: 2
An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems S Bansal, S Natesan Mediterranean Journal of Mathematics 21 (7), 194 , 2024 2024 Citations: 8
A Robust and Effective Numerical Technique for Solving Black-Scholes PDEs S Bansal, S Natesan Conference on Research and Industrial Conclave-Integration, 361-376 , 2024 2024
Richardson extrapolation technique for generalized Black–Scholes PDEs for European options. S Bansal, S Natesan Computational & Applied Mathematics 42 (5) , 2023 2023 Citations: 13
MOST CITED SCHOLAR PUBLICATIONS
Richardson extrapolation technique for generalized Black–Scholes PDEs for European options. S Bansal, S Natesan Computational & Applied Mathematics 42 (5) , 2023 2023 Citations: 13
A novel higher-order efficient computational method for pricing European and Asian options S Bansal, S Natesan Numerical Algorithms 99 (3), 1127-1159 , 2025 2025 Citations: 11
An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems S Bansal, S Natesan Mediterranean Journal of Mathematics 21 (7), 194 , 2024 2024 Citations: 8
Application of physics informed neural networks to partial integro-differential equations in financial modeling and decision making S Bansal, P Boro, N Srinivasan Applied Soft Computing, 114208 , 2025 2025 Citations: 3
Physics-informed neural network for option pricing weather derivatives model S Bansal, P Boro, S Natesan Computers & Mathematics with Applications 200, 1-21 , 2025 2025 Citations: 2
Numerical Solution of Passport Option Pricing Problem with Polynomial Neural Networks S Badireddi, S Bansal, S Natesan Computational Economics, 1-32 , 2025 2025 Citations: 2
An accurate and stable numerical method for pricing Asian options S Bansal, S Natesan Methodology and Computing in Applied Probability 27 (2), 50 , 2025 2025 Citations: 1
An efficient and robust computational approach to passport option pricing PDEs S Bansal, S Natesan Decisions in Economics and Finance 48 (2), 1931-1956 , 2025 2025
An efficient robust computational method for solving Black-Scholes PDEs S Bansal, S Natesan Mathematical Communications 30 (2), 191-205 , 2025 2025
A Stabilized Finite Element Method for Solving Black–Scholes PDEs with Applications to Lookback Options S Bansal, S Natesan Indian Journal of Pure and Applied Mathematics, 1-19 , 2025 2025
A Robust and Effective Numerical Technique for Solving Black-Scholes PDEs S Bansal, S Natesan Conference on Research and Industrial Conclave-Integration, 361-376 , 2024 2024
