Options valuation by using radial basis function approximation
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Cites work
Cited in
(30)- A quasi-radial basis functions method for American options pricing.
- A numerical study of Asian option with radial basis functions based finite differences method
- A comparative analysis of local meshless formulation for multi-asset option models
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Modified B-spline collocation approach for pricing American style Asian options
- Radial basis function generated finite differences for option pricing problems
- Pricing European passport option with radial basis function
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- Radial basis functions with application to finance: American put option under jump diffusion
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Pricing and simulation for real estate index options: radial basis point interpolation
- On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
- A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- Solution of Black-Scholes equation by using RBF approximation
- European option under a skew version of the GBM model with transaction costs by an RBF method
- High-order exponential spline method for pricing European options
- scientific article; zbMATH DE number 2154388 (Why is no real title available?)
- Spline approximation method to solve an option pricing problem
- Radial-basis-function-based finite difference operator splitting method for pricing American options
- An integration preconditioning method for solving option pricing problems
- Approximation of insurance liability contracts using radial basis functions
- Radial basis functions method for valuing options: a multinomial tree approach
- Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
- Comparison of radial basis functions in evaluating the Asian option
- High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
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