Pricing American options under multi-states: a radial basis collocation approach

DOI10.1007/s40324-017-0137-xzbMath1395.65018OpenAlexW2766599198MaRDI QIDQ725397

S. Heidari, Hossein Azari

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

zbMATH Keywords

free boundary problemradial basis functionsAmerican optionregime-switching model

Mathematics Subject Classification ID

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)

Related Items (1)

Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options

Cites Work

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