A computationally efficient numerical approach for multi-asset option pricing
From MaRDI portal
finite differencemesh-free methodmulti-asset option pricingmultiquadric radial basis functionssparse
Numerical radial basis function approximation (65D12) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- A numerical study of RBFs-DQ method for multi-asset option pricing problems
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- scientific article; zbMATH DE number 2135646
Cites work
- A finite volume approach for contingent claims valuation
- A quasi-interpolation method for solving stiff ordinary differential equations
- A quasi-radial basis functions method for American options pricing.
- Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
- Improved radial basis function methods for multi-dimensional option pricing
- Interpolation of scattered data: distance matrices and conditionally positive definite functions
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- On unsymmetric collocation by radial basis functions
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Radial basis function partition of unity methods for pricing vanilla basket options
- Scattered Data Interpolation: Tests of Some Method
- Solution of partial differential equations by a global radial basis function-based differential quadrature method
- Solving partial differential equation by using multiquadric quasi-interpolation
- Sparse grids
- The pricing of options and corporate liabilities
- The valuation of foreign currency options under stochastic interest rates
- Tools for computational finance.
Cited in
(24)- A comparative analysis of local meshless formulation for multi-asset option models
- Optimal non-uniform finite difference grids for the Black-Scholes equations
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Robust and accurate construction of the local volatility surface using the Black-Scholes equation
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- High-order computational methods for option valuation under multifactor models
- A mixed derivative terms removing method in multi-asset option pricing problems
- Multi-name assets exchange option pricing simulation based on pair-copulas
- A numerical study of RBFs-DQ method for multi-asset option pricing problems
- SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
- scientific article; zbMATH DE number 2135646 (Why is no real title available?)
- Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
- Numerical simulation for multi-asset derivatives pricing under Black-Scholes model
- scientific article; zbMATH DE number 7673130 (Why is no real title available?)
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- Option pricing under multifactor Black-Scholes model using orthogonal spline wavelets
- Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure
- Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
- An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems
- A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
- Two methods for solving the two-dimensional Black-Scholes equation
- Quantum mechanical approach to pricing multi-asset path-dependent options
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
This page was built for publication: A computationally efficient numerical approach for multi-asset option pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5031852)
