Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach

DOI10.1016/j.jedc.2013.01.013zbMath1402.91887OpenAlexW2113815342MaRDI QIDQ1994245

Graziella Pacelli, Luca Vincenzo Ballestra

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.01.013

zbMATH Keywords

option pricingoperator splittingradial basis functionAmerican optionBlack-Scholesbarrier optionHeston

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• rbf_qr

Cites Work

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