A local radial basis function method for high-dimensional American option pricing problems (Q4959381)
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scientific article; zbMATH DE number 7394603
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| English | A local radial basis function method for high-dimensional American option pricing problems |
scientific article; zbMATH DE number 7394603 |
Statements
A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems (English)
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13 September 2021
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radial basis functions
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cross derivative elimination
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Wendland function
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multi-asset problem
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American option pricing
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0.8660236597061157
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0.8423201441764832
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0.8367971181869507
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0.8275853395462036
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0.8229562640190125
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