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

scientific article

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English	A new method for evaluating options based on multiquadric RBF-FD method	scientific article

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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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zbMATH Open document ID

1411.91620

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DOI

10.1016/j.amc.2017.03.019

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Applied Mathematics and Computation

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publication date

29 March 2019

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Mathematics Subject Classification ID

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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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OpenAlex ID

W2604409950

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cites work

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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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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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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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Hybrid shape parameter strategy for the RBF approximation of vibrating systems

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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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