Pricing European passport option with radial basis function

DOI10.1007/s40819-016-0240-1zbMath1397.91592OpenAlexW2510956996MaRDI QIDQ1791773

Ankur Kanaujiya, Siddhartha P. Chakrabarty

Publication date: 11 October 2018

Published in: International Journal of Applied and Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40819-016-0240-1

zbMATH Keywords

numerical schemesradial basis functionpassport 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)

Related Items (1)

Valuation of American passport option using a three-time level scheme

Uses Software

• Matlab
• PATH Solver

Cites Work

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• Recent advances on radial basis function collocation methods
• Viscosity solutions of HJB equations arising from the valuation of European passport options
• Pricing European and American options by radial basis point interpolation
• Exotic passport options
• A numerical study of Asian option with radial basis functions based finite differences method
• Local time, coupling and the passport option
• Mean stochastic comparison of diffusions
• Optimal Strategies of Passport Options
• Various passport options and their valuation
• Passport options with stochastic volatility
• CLA’s, PLA’s and a new method for pricing general passport options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Options on a traded account: Vacation calls, vacation puts and passport options

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