Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
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Publication:1655400
DOI10.1007/s40314-016-0351-7zbMath1393.74215OpenAlexW2467730537MaRDI QIDQ1655400
Mojtaba Moradipour, Sohrab Ali Yousefi
Publication date: 9 August 2018
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-016-0351-7
Finite element methods applied to problems in solid mechanics (74S05) Finite difference methods applied to problems in solid mechanics (74S20)
Related Items (5)
Pseudospectral meshless radial point interpolation for generalized biharmonic equation in the presence of Cahn-Hilliard conditions ⋮ A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models ⋮ A dynamical method for optimal control of the obstacle problem ⋮ A two-grid penalty method for American options ⋮ Imposing various boundary conditions on positive definite kernels
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- Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB
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