A new method for evaluating options based on multiquadric RBF-FD method
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Cites work
- scientific article; zbMATH DE number 1371459 (Why is no real title available?)
- A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS
- A computational study of the one-dimensional parabolic equation subject to nonclassical boundary specifications
- A finite volume approach for contingent claims valuation
- A highly accurate linearized method for free boundary problems
- A meshfree method based on radial basis functions for the eigenvalues of transient Stokes equations
- A meshless technique based on the local radial basis functions collocation method for solving parabolic-parabolic Patlak-Keller-Segel chemotaxis model
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- A point interpolation meshless method based on radial basis functions
- A quasi-radial basis functions method for American options pricing.
- A random variable shape parameter strategy for radial basis function approximation methods
- Adaptive \(\theta \)-methods for pricing American options
- An efficient binomial method for pricing American options
- Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
- Circumventing the ill-conditioning problem with multiquadric radial basis functions: Applications to elliptic partial differential equations
- Classroom Note:Calculation of Weights in Finite Difference Formulas
- Compact finite difference method for American option pricing
- Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
- Error estimates of local multiquadric-based differential quadrature (LMQDQ) method through numerical experiments
- Hybrid shape parameter strategy for the RBF approximation of vibrating systems
- Improved accuracy of multiquadric interpolation using variable shape parameters
- Improved error bounds for scattered data interpolation by radial basis functions
- Improved radial basis function methods for multi-dimensional option pricing
- Interpolation in the limit of increasingly flat radial basis functions
- Local radial basis function-based differential quadrature method and its application to solve two-dimensional incompressible Navier--Stokes equations
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- Mathematical models of financial derivatives
- Meshfree explicit local radial basis function collocation method for diffusion problems
- Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
- Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
- Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB
- On the new variable shape parameter strategies for radial basis functions
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- On using radial basis functions in a ``finite difference mode with applications to elasticity problems
- Option pricing: A simplified approach
- Penalty methods for the numerical solution of American multi-asset option problems
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Quadratic convergence for valuing American options using a penalty method
- RBF-FD formulas and convergence properties
- Radial basis functions with application to finance: American put option under jump diffusion
- Scattered Data Approximation
- Scattered node compact finite difference-type formulas generated from radial basis functions
- Some observations regarding interpolants in the limit of flat radial basis functions
- The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost
- The numerical simulation of the phase field crystal (PFC) and modified phase field crystal (MPFC) models via global and local meshless methods
- The parameter \(R^ 2\) in multiquadric interpolation
- The pricing of options and corporate liabilities
- Tools for computational finance.
Cited in
(13)- A RBF-based differential quadrature method for solving two-dimensional variable-order time fractional advection-diffusion equation
- Numerical solution of optimal control problem for economic growth model using RBF collocation method
- A local radial basis function method for pricing options under the regime switching model
- A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
- scientific article; zbMATH DE number 7569367 (Why is no real title available?)
- RBF-FD meshless optimization using direct search (GLODS) in the analysis of composite plates
- Solution of Black-Scholes equation by using RBF approximation
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- The evaluation of compound options based on RBF approximation methods
- A novel local Hermite radial basis function‐based differential quadrature method for solving two‐dimensional variable‐order time fractional advection–diffusion equation with Neumann boundary conditions
- On Generation of Node Distributions for Meshless PDE Discretizations
- Numerical analysis of time fractional Black-Scholes European option pricing model arising in financial market
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
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