Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems (Q2004440): Difference between revisions

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scientific article

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English	Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems	scientific article

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scholarly article

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title

Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems (English)

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author

Nawdha Thakoor

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published in

Computers \& Mathematics with Applications

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publication date

7 October 2020

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zbMATH Keywords

radial point interpolation method

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finite difference formulas

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weak-form algorithm

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American options

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two-asset financial options

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.camwa.2019.06.005

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cites work

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

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A new fourth-order numerical scheme for option pricing under the CEV model

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Efficient and high accuracy pricing of barrier options under the CEV diffusion

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High-order compact finite difference scheme for option pricing in stochastic volatility models

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High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

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High-order ADI scheme for option pricing in stochastic volatility models

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

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RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility

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A point interpolation meshless method based on radial basis functions

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On unsymmetric collocation by radial basis functions

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Analysis of meshless local radial point interpolation (MLRPI) on a nonlinear partial integro-differential equation arising in population dynamics

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

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Pricing European and American options by radial basis point interpolation

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The Pricing of Options and Corporate Liabilities

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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

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Pricing and simulation for real estate index options: radial basis point interpolation

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RBF-FD formulas and convergence properties

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Numerical experiments on the condition number of the interpolation matrices for radial basis functions

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A Fourier method for the fractional diffusion equation describing sub-diffusion

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Compact finite difference method for the fractional diffusion equation

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Numerical solution of the time fractional Black-Scholes model governing European options

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Operator splitting methods for American option pricing.

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Derivative securities and difference methods.

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Radial basis functions method for valuing options: a multinomial tree approach

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A multiquadric quasi-interpolations method for CEV option pricing model

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An exact and explicit solution for the valuation of American put options

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A Fast Numerical Method for the Black--Scholes Equation of American Options

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On the Early Exercise Boundary of the American Put Option

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Identifiers

zbMATH Open document ID

1443.65011

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Mathematics Subject Classification ID

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10.1016/J.CAMWA.2019.06.005

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Sitelinks

Mathematics(1 entry)

mardi Publication:2004440

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