Application of the local radial basis function-based finite difference method for pricing American options (Q5266153): Difference between revisions

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scientific article; zbMATH DE number 6467870

Language	Label	Description	Also known as
English	Application of the local radial basis function-based finite difference method for pricing American options	scientific article; zbMATH DE number 6467870

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instance of

scholarly article

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title

Application of the local radial basis function-based finite difference method for pricing American options (English)

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International Journal of Computer Mathematics

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publication date

30 July 2015

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zbMATH Keywords

radial basis function

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finite difference

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Black-Scholes equation

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American option

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2014.950571

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cites work

An analysis of the linear advection--diffusion equation using mesh-free and mesh-dependent methods.

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Local RBF-FD solutions for steady convection–diffusion problems

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Exponential convergence andH-c multiquadric collocation method for partial differential equations

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Unsymmetric and symmetric meshless schemes for the unsteady convection-diffusion equation

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On the optimal shape parameter for Gaussian radial basis function finite difference approximation of the Poisson equation

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Stable computation of multiquadric interpolants for all values of the shape parameter

0 references

Some observations regarding interpolants in the limit of flat radial basis functions

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Stable Computations with Gaussian Radial Basis Functions

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Stable calculation of Gaussian-based RBF-FD stencils

0 references

Radial basis functions with application to finance: American put option under jump diffusion

0 references

A quasi-radial basis functions method for American options pricing.

0 references

Q4794126

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Operator splitting methods for American option pricing.

0 references

A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation

0 references

Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option

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Adaptive \(\theta \)-methods for pricing American options

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Radial basis function Hermite collocation approach for the solution of time dependent convection-diffusion problems

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Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform

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Local multiquadric approximation for solving boundary value problems

0 references

Point interpolation collocation method for the solution of partial differential equations

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On the use of boundary conditions for variational formulations arising in financial mathematics.

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Penalty methods for the numerical solution of American multi-asset option problems

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Improved radial basis function methods for multi-dimensional option pricing

0 references

Local radial basis function based gridfree scheme for unsteady incompressible viscous flows

0 references

Local radial basis function-based differential quadrature method and its application to solve two-dimensional incompressible Navier--Stokes equations

0 references

Scattered node compact finite difference-type formulas generated from radial basis functions

0 references

A numerical method for heat transfer problems using collocation and radial basis functions

0 references

Identifiers

zbMATH Open document ID

1317.65161

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DOI

10.1080/00207160.2014.950571

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5266153

@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2014.950571
+Normal rank
@@ Property / OpenAlex ID @@
+W2032887086
@@ Property / OpenAlex ID: W2032887086 / rank @@
+Normal rank
@@ Property / cites work @@
+An analysis of the linear advection--diffusion equation using mesh-free and mesh-dependent methods.
+Normal rank
@@ Property / cites work @@
+Local RBF-FD solutions for steady convection–diffusion problems
+Normal rank
@@ Property / cites work @@
+Exponential convergence andH-c multiquadric collocation method for partial differential equations
+Normal rank
@@ Property / cites work @@
+Unsymmetric and symmetric meshless schemes for the unsteady convection-diffusion equation
+Normal rank
@@ Property / cites work @@
+On the optimal shape parameter for Gaussian radial basis function finite difference approximation of the Poisson equation
+Normal rank
@@ Property / cites work @@
+Stable computation of multiquadric interpolants for all values of the shape parameter
+Normal rank
@@ Property / cites work @@
+Some observations regarding interpolants in the limit of flat radial basis functions
+Normal rank
@@ Property / cites work @@
+Stable Computations with Gaussian Radial Basis Functions
+Normal rank
@@ Property / cites work @@
+Stable calculation of Gaussian-based RBF-FD stencils
+Normal rank
@@ Property / cites work @@
+Radial basis functions with application to finance: American put option under jump diffusion
+Normal rank
@@ Property / cites work @@
+A quasi-radial basis functions method for American options pricing.
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
+Normal rank
@@ Property / cites work @@
+Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
+Normal rank
@@ Property / cites work @@
+Adaptive \(\theta \)-methods for pricing American options
+Normal rank
@@ Property / cites work @@
+Radial basis function Hermite collocation approach for the solution of time dependent convection-diffusion problems
+Normal rank
@@ Property / cites work @@
+Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
+Normal rank
@@ Property / cites work @@
+Local multiquadric approximation for solving boundary value problems
+Normal rank
@@ Property / cites work @@
+Point interpolation collocation method for the solution of partial differential equations
+Normal rank
@@ Property / cites work @@
+On the use of boundary conditions for variational formulations arising in financial mathematics.
+Normal rank
@@ Property / cites work @@
+Penalty methods for the numerical solution of American multi-asset option problems
+Normal rank
@@ Property / cites work @@
+Improved radial basis function methods for multi-dimensional option pricing
+Normal rank
@@ Property / cites work @@
+Local radial basis function based gridfree scheme for unsteady incompressible viscous flows
+Normal rank
@@ Property / cites work @@
+Local radial basis function-based differential quadrature method and its application to solve two-dimensional incompressible Navier--Stokes equations
+Normal rank
@@ Property / cites work @@
+Scattered node compact finite difference-type formulas generated from radial basis functions
+Normal rank
@@ Property / cites work @@
+A numerical method for heat transfer problems using collocation and radial basis functions
+Normal rank