High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility

DOI10.1016/J.ENGANABOUND.2022.11.015zbMath1521.91388OpenAlexW4310017501MaRDI QIDQ6040736

Muddun Bhuruth, Jason Narsoo, Nawdha Thakoor, Yannick Désiré Tangman

Publication date: 22 May 2023

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2022.11.015

zbMATH Keywords

stochastic volatilityAmerican optionsGaussian RBF-FDreal estate index derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Numerical radial basis function approximation (65D12)

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