Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach (Q2212455)
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scientific article; zbMATH DE number 7276717
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| English | Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach |
scientific article; zbMATH DE number 7276717 |
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Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach (English)
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23 November 2020
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RBF-FD method
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Gaussian RBF
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option pricing
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exponential integrator
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Krylov method
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0.8510676622390747
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0.844041109085083
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0.8423201441764832
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0.8342678546905518
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