A numerical study of RBFs-DQ method for multi-asset option pricing problems
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differential quadratureEuropean optionmulti-dimensional Black-Scholes equationradial basis functions
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- The pricing of options and corporate liabilities
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Cited in
(14)- A comparative analysis of local meshless formulation for multi-asset option models
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
- A new method for evaluating options based on multiquadric RBF-FD 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 mixed derivative terms removing method in multi-asset option pricing problems
- scientific article; zbMATH DE number 2135646 (Why is no real title available?)
- A local radial basis function method for high-dimensional American option pricing problems
- An integration preconditioning method for solving option pricing problems
- A computationally efficient numerical approach for multi-asset option pricing
- An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options
- On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE
- Improved radial basis function methods for multi-dimensional option pricing
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
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