Radial basis function partition of unity operator splitting method for pricing multi-asset American options (Q727900)
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scientific article; zbMATH DE number 6667569
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| English | Radial basis function partition of unity operator splitting method for pricing multi-asset American options |
scientific article; zbMATH DE number 6667569 |
Statements
Radial basis function partition of unity operator splitting method for pricing multi-asset American options (English)
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21 December 2016
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American option
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multi-asset option
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Greeks
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radial basis function
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partition of unity
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operator splitting method
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penalty method
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0.8854814767837524
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0.8404344916343689
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0.8072196245193481
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0.806620717048645
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