A local radial basis function method for high-dimensional American option pricing problems
American option pricingcross derivative eliminationmulti-asset problemradial basis functionsWendland function
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical radial basis function approximation (65D12) Algorithms for approximation of functions (65D15) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) 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) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
- Application of the local radial basis function-based finite difference method for pricing American options
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- Improved radial basis function methods for multi-dimensional option pricing
- A numerical study of RBFs-DQ method for multi-asset option pricing problems
- Radial basis function generated finite differences for option pricing problems
- A comparative analysis of local meshless formulation for multi-asset option models
- A mixed derivative terms removing method in multi-asset option pricing problems
- An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
- BENCHOP -- the benchmarking project in option pricing
- Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Improved radial basis function methods for multi-dimensional option pricing
- Inertia characteristics of self-adjoint matrix polynomials
- Meshfree approximation methods with Matlab. With CD-ROM.
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
- Multigrid for High-Dimensional Elliptic Partial Differential Equations on Non-equidistant Grids
- On choosing ``optimal shape parameters for RBF approximation
- PDE and martingale methods in option pricing.
- Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- Radial basis function partition of unity methods for pricing vanilla basket options
- Radial basis functions with application to finance: American put option under jump diffusion
- Solving PDEs with radial basis functions
- Variants of the combination technique for multi-dimensional option pricing
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation
- An improved computationally efficient method for finding the Drazin inverse
- Pricing multi-asset option problems: a Chebyshev pseudo-spectral method
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- A high order method for pricing of financial derivatives using radial basis function generated finite differences
- The localized RBFs collocation methods for solving high dimensional PDEs
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- scientific article; zbMATH DE number 5305358 (Why is no real title available?)
- Application of the local radial basis function-based finite difference method for pricing American options
- A novel local meshless scheme based on the radial basis function for pricing multi-asset options
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- Two methods for solving the two-dimensional Black-Scholes equation
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
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