Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach (Q2212455)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach |
scientific article |
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Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach (English)
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23 November 2020
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RBF-FD method
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Gaussian RBF
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option pricing
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exponential integrator
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Krylov method
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