Pricing American options under multi-states: a radial basis collocation approach
Publication:725397
DOI10.1007/s40324-017-0137-xzbMath1395.65018OpenAlexW2766599198MaRDI QIDQ725397
Publication date: 1 August 2018
Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40324-017-0137-x
Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35) Direct numerical methods for linear systems and matrix inversion (65F05) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)
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