A quasi-radial basis functions method for American options pricing.
From MaRDI portal
Publication:1609116
DOI10.1016/S0898-1221(01)00302-9zbMath1073.91588OpenAlexW2068505839MaRDI QIDQ1609116
Publication date: 15 August 2002
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0898-1221(01)00302-9
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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