A quasi-radial basis functions method for American options pricing.

DOI10.1016/S0898-1221(01)00302-9zbMath1073.91588OpenAlexW2068505839MaRDI QIDQ1609116

Benny Y. C. Hon

Publication date: 15 August 2002

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0898-1221(01)00302-9

zbMATH Keywords

radial basis functionsAmerican optionsquasi-interpolation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Univariate multiquadric approximation: Quasi-interpolation to scattered data
• Penalty methods for American options with stochastic volatility
• Circumventing the ill-conditioning problem with multiquadric radial basis functions: Applications to elliptic partial differential equations
• Multizone decomposition for simulation of time-dependent problems using the multiquadratic scheme
• Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
• Compactly supported radial basis functions for shallow water equations.
• Shape preserving properties and convergence of univariate multiquadric quasi-interpolation
• Compactly supported positive definite radial functions
• Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
• An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
• Some mathematical results in the pricing of American options
• A quasi-interpolation method for solving stiff ordinary differential equations
• The Mathematics of Financial Derivatives
• Option pricing: A simplified approach

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