A new method for evaluating options based on multiquadric RBF-FD method (Q1738089)

scientific article; zbMATH DE number 7045338

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English	A new method for evaluating options based on multiquadric RBF-FD method	scientific article; zbMATH DE number 7045338

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instance of

scholarly article

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title

A new method for evaluating options based on multiquadric RBF-FD method (English)

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Applied Mathematics and Computation

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publication date

29 March 2019

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zbMATH Keywords

local meshless method

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radial basis function

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Black-Scholes model

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unconditional stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2017.03.019

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cites work

The pricing of options and corporate liabilities

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Quadratic convergence for valuing American options using a penalty method

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Adaptive \(\theta \)-methods for pricing American options

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Tools for computational finance.

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Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.

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Mathematical models of financial derivatives

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A finite volume approach for contingent claims valuation

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A highly accurate linearized method for free boundary problems

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Compact finite difference method for American option pricing

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Penalty methods for the numerical solution of American multi-asset option problems

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The numerical approximation of nonlinear Black--Scholes model for exotic path-dependent American options with transaction cost

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A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS

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Option pricing: A simplified approach

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An efficient binomial method for pricing American options

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Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry

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A quasi-radial basis functions method for American options pricing.

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On the use of boundary conditions for variational formulations arising in financial mathematics.

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Radial basis functions with application to finance: American put option under jump diffusion

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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

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Improved radial basis function methods for multi-dimensional option pricing

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Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach

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A new radial basis functions method for pricing American options under Merton's jump-diffusion model

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On the new variable shape parameter strategies for radial basis functions

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Scattered Data Approximation

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Improved error bounds for scattered data interpolation by radial basis functions

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Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates

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Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations

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Hybrid shape parameter strategy for the RBF approximation of vibrating systems

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A meshfree method based on radial basis functions for the eigenvalues of transient Stokes equations

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A meshless technique based on the local radial basis functions collocation method for solving parabolic-parabolic Patlak-Keller-Segel chemotaxis model

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The numerical simulation of the phase field crystal (PFC) and modified phase field crystal (MPFC) models via global and local meshless methods

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Circumventing the ill-conditioning problem with multiquadric radial basis functions: Applications to elliptic partial differential equations

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The parameter \(R^ 2\) in multiquadric interpolation

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Improved accuracy of multiquadric interpolation using variable shape parameters

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A random variable shape parameter strategy for radial basis function approximation methods

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Classroom Note:Calculation of Weights in Finite Difference Formulas

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A computational study of the one-dimensional parabolic equation subject to nonclassical boundary specifications

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Q3835853

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On using radial basis functions in a ``finite difference mode'' with applications to elasticity problems

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Local radial basis function-based differential quadrature method and its application to solve two-dimensional incompressible Navier--Stokes equations

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Scattered node compact finite difference-type formulas generated from radial basis functions

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RBF-FD formulas and convergence properties

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A point interpolation meshless method based on radial basis functions

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Meshfree explicit local radial basis function collocation method for diffusion problems

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Error estimates of local multiquadric-based differential quadrature (LMQDQ) method through numerical experiments

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Interpolation in the limit of increasingly flat radial basis functions

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Some observations regarding interpolants in the limit of flat radial basis functions

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Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB

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Identifiers

zbMATH Open document ID

1411.91620

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Mathematics Subject Classification ID

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10.1016/J.AMC.2017.03.019

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Sitelinks

Mathematics(1 entry)

mardi Publication:1738089