A new method for evaluating options based on multiquadric RBF-FD method (Q1738089): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.amc.2017.03.019 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2604409950 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic Convergence for Valuing American Options Using a Penalty Method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive \(\theta \)-methods for pricing American options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tools for computational finance. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence error estimate in solving free boundary diffusion problem by radial basis functions method. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mathematical models of financial derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: A finite volume approach for contingent claims valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A highly accurate linearized method for free boundary problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Compact finite difference method for American option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Penalty methods for the numerical solution of American multi-asset option problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost / rank
 
Normal rank
Property / cites work
 
Property / cites work: A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing: A simplified approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: An efficient binomial method for pricing American options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry / rank
 
Normal rank
Property / cites work
 
Property / cites work: A quasi-radial basis functions method for American options pricing. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the use of boundary conditions for variational formulations arising in financial mathematics. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Radial basis functions with application to finance: American put option under jump diffusion / rank
 
Normal rank
Property / cites work
 
Property / cites work: 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 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improved radial basis function methods for multi-dimensional option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new radial basis functions method for pricing American options under Merton's jump-diffusion model / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the new variable shape parameter strategies for radial basis functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Scattered Data Approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improved error bounds for scattered data interpolation by radial basis functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Hybrid shape parameter strategy for the RBF approximation of vibrating systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: A meshfree method based on radial basis functions for the eigenvalues of transient Stokes equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A meshless technique based on the local radial basis functions collocation method for solving parabolic-parabolic Patlak-Keller-Segel chemotaxis model / rank
 
Normal rank
Property / cites work
 
Property / cites work: The numerical simulation of the phase field crystal (PFC) and modified phase field crystal (MPFC) models via global and local meshless methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Circumventing the ill-conditioning problem with multiquadric radial basis functions: Applications to elliptic partial differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The parameter \(R^ 2\) in multiquadric interpolation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improved accuracy of multiquadric interpolation using variable shape parameters / rank
 
Normal rank
Property / cites work
 
Property / cites work: A random variable shape parameter strategy for radial basis function approximation methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Classroom Note:Calculation of Weights in Finite Difference Formulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: A computational study of the one-dimensional parabolic equation subject to nonclassical boundary specifications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3835853 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On using radial basis functions in a ``finite difference mode'' with applications to elasticity problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local radial basis function-based differential quadrature method and its application to solve two-dimensional incompressible Navier--Stokes equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Scattered node compact finite difference-type formulas generated from radial basis functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: RBF-FD formulas and convergence properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: A point interpolation meshless method based on radial basis functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Meshfree explicit local radial basis function collocation method for diffusion problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error estimates of local multiquadric-based differential quadrature (LMQDQ) method through numerical experiments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interpolation in the limit of increasingly flat radial basis functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some observations regarding interpolants in the limit of flat radial basis functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB / rank
 
Normal rank

Latest revision as of 23:49, 18 July 2024

scientific article
Language Label Description Also known as
English
A new method for evaluating options based on multiquadric RBF-FD method
scientific article

    Statements

    A new method for evaluating options based on multiquadric RBF-FD method (English)
    0 references
    0 references
    0 references
    29 March 2019
    0 references
    local meshless method
    0 references
    radial basis function
    0 references
    Black-Scholes model
    0 references
    unconditional stability
    0 references
    0 references

    Identifiers