Pricing real estate index options by compactly supported radial-polynomial basis point interpolation

DOI10.1016/J.CAM.2017.11.006zbMath1405.91695OpenAlexW2768673723MaRDI QIDQ679600

Jiayue Wang, Xubiao He

Publication date: 11 January 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.11.006

zbMATH Keywords

meshless methodCSRBFPBFreal estate index option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)

Related Items (3)

Pricing and simulation for real estate index options: radial basis point interpolation ⋮ High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility ⋮ A robust nonstandard finite difference scheme for pricing real estate index options

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