Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options (Q907677): Difference between revisions

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English	Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options	scientific article

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instance of

scholarly article

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title

Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options (English)

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Communications in Nonlinear Science and Numerical Simulation

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publication date

26 January 2016

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full work available at URL

https://arxiv.org/abs/1412.6063

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zbMATH Keywords

option pricing

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American option

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meshless weak form

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LBIE

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MLS

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LRPI

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Richardson extrapolation

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BiCGStab

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stability analysis

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MaRDI profile type

MaRDI publication profile

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cites work

The Pricing of Options and Corporate Liabilities

0 references

An upwind approach for an American and European option pricing model

0 references

A highly accurate linearized method for free boundary problems

0 references

Extrapolation of difference methods in option valuation

0 references

The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost

0 references

The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach

0 references

A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS

0 references

Quadratic Convergence for Valuing American Options Using a Penalty Method

0 references

A finite volume approach for contingent claims valuation

0 references

An irregular grid approach for pricing high-dimensional American options

0 references

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

0 references

A fast high-order finite difference algorithm for pricing American options

0 references

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

0 references

Compact finite difference method for American option pricing

0 references

Numerical pricing of options using high-order compact finite difference schemes

0 references

Optimal convergence rate of the explicit finite difference scheme for American option valuation

0 references

A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps

0 references

Option pricing: A simplified approach

0 references

An efficient binomial method for pricing American options

0 references

Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach

0 references

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

0 references

Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.

0 references

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

0 references

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

0 references

A not-a-knot meshless method using radial basis functions and predictor-corrector scheme to the numerical solution of improved Boussinesq equation

0 references

A boundary-only meshless method for numerical solution of the eikonal equation

0 references

Numerical solution of the nonlinear Klein-Gordon equation using radial basis functions

0 references

Radial basis functions methods for solving Fokker-Planck equation

0 references

A meshless method on non-Fickian flows with mixing length growth in porous media based on radial basis functions: a comparative study

0 references

Application of meshfree methods for solving the inverse one-dimensional Stefan problem

0 references

A new radial basis functions method for pricing American options under Merton's jump-diffusion model

0 references

A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications

0 references

Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions

0 references

Numerical simulation of two-dimensional sine-Gordon solitons via a local weak meshless technique based on the radial point interpolation method (RPIM)

0 references

New implementation of MLBIE method for heat conduction analysis in functionally graded materials

0 references

A generalized moving least square reproducing kernel method

0 references

A moving least square reproducing polynomial meshless method

0 references

Implementation of meshless LBIE method to the 2D non-linear SG problem

0 references

A local boundary integral equation (LBIE) method in computational mechanics, and a meshless discretization approach

0 references

A point interpolation meshless method based on radial basis functions

0 references

A critical assessment of the truly meshless local Petrov-Galerkin (MLPG), and local boundary integral equation (LBIE) methods

0 references

A meshless local boundary integral equation (LBIE) method for solving nonlinear problems

0 references

A meshless numerical method based on the local boundary integral equation (LBIE) to solve linear and nonlinear boundary value problems

0 references

Local BIEM for transient heat conduction analysis in 3-D axisymmetric functionally graded solids

0 references

A local integral equation formulation to solve coupled nonlinear reaction-diffusion equations by using moving least square approximation

0 references

Application of meshless local integral equations to two dimensional analysis of coupled non-Fick diffusion-elasticity

0 references

Local integral equations implemented by MLS-approximation and analytical integrations

0 references

Meshless Galerkin algorithms for boundary integral equations with moving least square approximations

0 references

Compactly supported positive definite radial functions

0 references

Multigrid for American option pricing with stochastic volatility

0 references

Q4794126

0 references

Meshless local Petrov-Galerkin (MLPG) method for the unsteady magnetohydrodynamic (MHD) flow through pipe with arbitrary wall conductivity

0 references

The meshless local Petrov-Galerkin (MLPG) method for the generalized two-dimensional nonlinear Schrödinger equation

0 references

Radial Basis Functions

0 references

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

0 references

The parameter \(R^ 2\) in multiquadric interpolation

0 references

On choosing ``optimal'' shape parameters for RBF approximation

0 references

Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems

0 references

Q3653570

0 references

The Mathematics of Financial Derivatives

0 references

Scattered Data Approximation

0 references

On generalized moving least squares and diffuse derivatives

0 references

An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation

0 references

Identifiers

zbMATH Open document ID

1329.91142

0 references

DOI

10.1016/j.cnsns.2014.07.015

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:907677

@@ Property / arXiv ID @@
+.6063
@@ Property / arXiv ID: 1412.6063 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+An upwind approach for an American and European option pricing model
+Normal rank
@@ Property / cites work @@
+A highly accurate linearized method for free boundary problems
+Normal rank
@@ Property / cites work @@
+Extrapolation of difference methods in option valuation
+Normal rank
@@ Property / cites work @@
+The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost
+Normal rank
@@ Property / cites work @@
+The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
+Normal rank
@@ Property / cites work @@
+A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+A finite volume approach for contingent claims valuation
+Normal rank
@@ Property / cites work @@
+An irregular grid approach for pricing high-dimensional American options
+Normal rank
@@ Property / cites work @@
+Adaptive \(\theta \)-methods for pricing American options
+Normal rank
@@ Property / cites work @@
+A fast high-order finite difference algorithm for pricing American options
+Normal rank
@@ Property / cites work @@
+Penalty methods for the numerical solution of American multi-asset option problems
+Normal rank
@@ Property / cites work @@
+Compact finite difference method for American option pricing
+Normal rank
@@ Property / cites work @@
+Numerical pricing of options using high-order compact finite difference schemes
+Normal rank
@@ Property / cites work @@
+Optimal convergence rate of the explicit finite difference scheme for American option valuation
+Normal rank
@@ Property / cites work @@
+A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+An efficient binomial method for pricing American options
+Normal rank
@@ Property / cites work @@
+Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
+Normal rank
@@ Property / cites work @@
+Radial basis functions with application to finance: American put option under jump diffusion
+Normal rank
@@ Property / cites work @@
+Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
+Normal rank
@@ Property / cites work @@
+On the use of boundary conditions for variational formulations arising in financial mathematics.
+Normal rank
@@ Property / cites work @@
+A quasi-radial basis functions method for American options pricing.
+Normal rank
@@ Property / cites work @@
+A not-a-knot meshless method using radial basis functions and predictor-corrector scheme to the numerical solution of improved Boussinesq equation
+Normal rank
@@ Property / cites work @@
+A boundary-only meshless method for numerical solution of the eikonal equation
+Normal rank
@@ Property / cites work @@
+Numerical solution of the nonlinear Klein-Gordon equation using radial basis functions
+Normal rank
@@ Property / cites work @@
+Radial basis functions methods for solving Fokker-Planck equation
+Normal rank
@@ Property / cites work @@
+A meshless method on non-Fickian flows with mixing length growth in porous media based on radial basis functions: a comparative study
+Normal rank
@@ Property / cites work @@
+Application of meshfree methods for solving the inverse one-dimensional Stefan problem
+Normal rank
@@ Property / cites work @@
+A new radial basis functions method for pricing American options under Merton's jump-diffusion model
+Normal rank
@@ Property / cites work @@
+A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
+Normal rank
@@ Property / cites work @@
+Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
+Normal rank
@@ Property / cites work @@
+Numerical simulation of two-dimensional sine-Gordon solitons via a local weak meshless technique based on the radial point interpolation method (RPIM)
+Normal rank
@@ Property / cites work @@
+New implementation of MLBIE method for heat conduction analysis in functionally graded materials
+Normal rank
@@ Property / cites work @@
+A generalized moving least square reproducing kernel method
+Normal rank
@@ Property / cites work @@
+A moving least square reproducing polynomial meshless method
+Normal rank
@@ Property / cites work @@
+Implementation of meshless LBIE method to the 2D non-linear SG problem
+Normal rank
@@ Property / cites work @@
+A local boundary integral equation (LBIE) method in computational mechanics, and a meshless discretization approach
+Normal rank
@@ Property / cites work @@
+A point interpolation meshless method based on radial basis functions
+Normal rank
@@ Property / cites work @@
+A critical assessment of the truly meshless local Petrov-Galerkin (MLPG), and local boundary integral equation (LBIE) methods
+Normal rank
@@ Property / cites work @@
+A meshless local boundary integral equation (LBIE) method for solving nonlinear problems
+Normal rank
@@ Property / cites work @@
+A meshless numerical method based on the local boundary integral equation (LBIE) to solve linear and nonlinear boundary value problems
+Normal rank
@@ Property / cites work @@
+Local BIEM for transient heat conduction analysis in 3-D axisymmetric functionally graded solids
+Normal rank
@@ Property / cites work @@
+A local integral equation formulation to solve coupled nonlinear reaction-diffusion equations by using moving least square approximation
+Normal rank
@@ Property / cites work @@
+Application of meshless local integral equations to two dimensional analysis of coupled non-Fick diffusion-elasticity
+Normal rank
@@ Property / cites work @@
+Local integral equations implemented by MLS-approximation and analytical integrations
+Normal rank
@@ Property / cites work @@
+Meshless Galerkin algorithms for boundary integral equations with moving least square approximations
+Normal rank
@@ Property / cites work @@
+Compactly supported positive definite radial functions
+Normal rank
@@ Property / cites work @@
+Multigrid for American option pricing with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Meshless local Petrov-Galerkin (MLPG) method for the unsteady magnetohydrodynamic (MHD) flow through pipe with arbitrary wall conductivity
+Normal rank
@@ Property / cites work @@
+The meshless local Petrov-Galerkin (MLPG) method for the generalized two-dimensional nonlinear Schrödinger equation
+Normal rank
@@ Property / cites work @@
+Radial Basis Functions
@@ Property / cites work: Radial Basis Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential convergence andH-c multiquadric collocation method for partial differential equations
+Normal rank
@@ Property / cites work @@
+The parameter \(R^ 2\) in multiquadric interpolation
+Normal rank
@@ Property / cites work @@
+On choosing ``optimal'' shape parameters for RBF approximation
+Normal rank
@@ Property / cites work @@
+Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
+Normal rank
@@ Property / cites work @@
+Q3653570
@@ Property / cites work: Q3653570 / rank @@
+Normal rank
@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Scattered Data Approximation
@@ Property / cites work: Scattered Data Approximation / rank @@
+Normal rank
@@ Property / cites work @@
+On generalized moving least squares and diffuse derivatives
+Normal rank
@@ Property / cites work @@
+An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
+Normal rank