A comparative analysis of local meshless formulation for multi-asset option models

DOI10.1016/J.ENGANABOUND.2015.12.020MaRDI QIDQ1655003zbMATH OpenOpenAlexFDO

Authors Imtiaz Ahmad, Siraj-ul-Islam

Publication date 9 August 2018

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

Full work available at URL https://doi.org/10.1016/j.enganabound.2015.12.020

zbMATH Keywords

option pricingradial basis functionsAmerican put optionoperator splitting techniqueBlack-Scholes PDEs modelbutterfly call optiondigital call optionEuropean put option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

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Cited in

(22)

• Local meshless differential quadrature collocation method for time-fractional PDEs
• A parametrized level set based topology optimization method for analysing thermal problems
• A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
• Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
• Meshless methods for American option pricing through physics-informed neural networks
• High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility
• Local radial basis function collocation method for Stokes equations with interface conditions
• The localized radial basis functions for parameterized level set based structural optimization
• Symmetric radial basis function method for simulation of elliptic partial differential equations
• A local radial basis function method for high-dimensional American option pricing problems
• A novel local meshless scheme based on the radial basis function for pricing multi-asset options
• Local meshless method for PDEs arising from models of wound healing
• Numerical simulation of PDEs by local meshless differential quadrature collocation method
• Local RBF method for multi-dimensional partial differential equations
• An integration preconditioning method for solving option pricing problems
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
• Numerical simulation of partial differential equations via local meshless method
• Meshless and multi-resolution collocation techniques for steady state interface models
• Meshless methods for one-dimensional oscillatory Fredholm integral equations
• Unstructured meshing for two asset barrier options
• Meshless and multi-resolution collocation techniques for parabolic interface models
• A numerical Haar wavelet-finite difference hybrid method for linear and non-linear Schrödinger equation

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