Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems

DOI10.1016/J.CAMWA.2019.06.005MaRDI QIDQ2004440zbMATH OpenOpenAlexWikidataFDO

Authors Nawdha Thakoor

Publication date 7 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2019.06.005

zbMATH Keywords

American optionsradial point interpolation methodfinite difference formulastwo-asset financial optionsweak-form algorithm

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05)

Recommendations

• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
• Application of the local radial basis function-based finite difference method for pricing American options
• Pricing European and American options by radial basis point interpolation
• Improved radial basis function methods for multi-dimensional option pricing
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility

Cites work

• A Fast Numerical Method for the Black--Scholes Equation of American Options
• A Fourier method for the fractional diffusion equation describing sub-diffusion
• A multiquadric quasi-interpolations method for CEV option pricing model
• A new fourth-order numerical scheme for option pricing under the CEV model
• A point interpolation meshless method based on radial basis functions
• An exact and explicit solution for the valuation of American put options
• Analysis of meshless local radial point interpolation (MLRPI) on a nonlinear partial integro-differential equation arising in population dynamics
• Application of the local radial basis function-based finite difference method for pricing American options
• Compact finite difference method for the fractional diffusion equation
• Derivative securities and difference methods.
• Efficient and high accuracy pricing of barrier options under the CEV diffusion
• High-order ADI scheme for option pricing in stochastic volatility models
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
• Numerical experiments on the condition number of the interpolation matrices for radial basis functions
• Numerical pricing of options using high-order compact finite difference schemes
• Numerical simulation of two-dimensional sine-Gordon solitons via a local weak meshless technique based on the radial point interpolation method (RPIM)
• Numerical solution of the time fractional Black-Scholes model governing European options
• On the Early Exercise Boundary of the American Put Option
• On unsymmetric collocation by radial basis functions
• Operator splitting methods for American option pricing.
• Pricing European and American options by radial basis point interpolation
• Pricing and simulation for real estate index options: radial basis point interpolation
• RBF-FD formulas and convergence properties
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
• Radial basis functions method for valuing options: a multinomial tree approach
• The pricing of options and corporate liabilities

Cited in

(1)

• A new analytical approach for the local radial point interpolation discretisation in space and applications to high-order in time schemes for two-dimensional fractional PDEs

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