A comparative analysis of local meshless formulation for multi-asset option models

DOI10.1016/j.enganabound.2015.12.020zbMath1403.91377OpenAlexW2254592078MaRDI QIDQ1655003

Imtiaz Ahmad, Siraj-ul-islam

Publication date: 9 August 2018

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2015.12.020

zbMATH Keywords

option pricingradial basis functionsAmerican put optionoperator splitting techniqueBlack-Scholes PDEs modelbutterfly call optiondigital call optionEuropean put option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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