A new method for evaluating options based on multiquadric RBF-FD method
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Publication:1738089
DOI10.1016/j.amc.2017.03.019zbMath1411.91620OpenAlexW2604409950MaRDI QIDQ1738089
Ahmad Golbabai, Ehsan Mohebianfar
Publication date: 29 March 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2017.03.019
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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