Radial basis function partition of unity methods for pricing vanilla basket options

DOI10.1016/j.camwa.2015.11.007zbMath1443.91333OpenAlexW1595182422WikidataQ60511923 ScholiaQ60511923MaRDI QIDQ2006598

Victor Shcherbakov, Elisabeth Larsson

Publication date: 11 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.2015.11.007

zbMATH Keywords

option pricingradial basis functionpenalty methodpartition of unitybasket 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

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems, A computationally efficient numerical approach for multi-asset option pricing, Preconditioning for radial basis function partition of unity methods, The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense, Convergence estimates for stationary radial basis function interpolation and for semi-discrete collocation-schemes, Graphical Representation of Separatrices of Attraction Basins in Two and Three-Dimensional Dynamical Systems, RBFPUM with QR factorization for solving water flow problem in multilayered soil, A local scheme for numerical simulation of multi-dimensional dynamic quantum model: application to decision-making, Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model, A locally stabilized radial basis function partition of unity technique for the sine-Gordon system in nonlinear optics, Iterative speedup by utilizing symmetric data in pricing options with two risky assets, RBF methods in a stochastic volatility framework for Greeks computation, A hybrid radial basis functions collocation technique to numerically solve fractional advection–diffusion models, A Least Squares Radial Basis Function Partition of Unity Method for Solving PDEs, Localized Chebyshev and MLS collocation methods for solving 2D steady state nonlocal diffusion and peridynamic equations, A meshfree approach to non-Newtonian free surface ice flow: application to the Haut Glacier d'Arolla, An efficient localized meshless collocation method for the two-dimensional Burgers-type equation arising in fluid turbulent flows, Radial basis function partition of unity procedure combined with the reduced-order method for solving Zakharov-Rubenchik equations, The D-RBF-PU method for solving surface PDEs, An RBF-PUM finite difference scheme for forward-backward heat equation, Utilizing differential quadrature-based RBF partition of unity collocation method to simulate distributed-order time fractional cable equation, Optimal selection of local approximants in RBF-PU interpolation, \textsc{OpenCL} based parallel algorithm for RBF-PUM interpolation, On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation, On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models, Simulating backward wave propagation in metamaterial with radial basis functions, NEW MODEL FOR PRICING QUANTO CREDIT DEFAULT SWAPS, Unnamed Item, A high order method for pricing of financial derivatives using radial basis function generated finite differences, A stable RBF partition of unity local method for elliptic interface problems in two dimensions, Pricing multi-asset option problems: a Chebyshev pseudo-spectral method, Multilevel sparse grids collocation for linear partial differential equations, with tensor product smooth basis functions, Radial basis function generated finite differences for option pricing problems, Greeks computation in the option pricing problem by means of RBF-PU methods, A localisation technique based on radial basis function partition of unity for solving Sobolev equation arising in fluid dynamics, Phase distribution control of neural oscillator populations using local radial basis function meshfree technique with application in epileptic seizures: a numerical simulation approach, An efficient computational algorithm for pricing European, barrier and American options, Radial basis function partition of unity method for modelling water flow in porous media, RBF-based partition of unity methods for elliptic PDEs: adaptivity and stability issues via variably scaled kernels, A local radial basis function method for pricing options under the regime switching model, Anisotropic radial basis function methods for continental size ice sheet simulations, A RBF partition of unity collocation method based on finite difference for initial-boundary value problems, Numerical simulation of reaction-diffusion neural dynamics models and their synchronization/desynchronization: application to epileptic seizures, An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations, Efficient computation of partition of unity interpolants through a block-based searching technique, Unnamed Item, Unnamed Item, Radial basis function partition of unity operator splitting method for pricing multi-asset American options, An efficient localized meshless technique for approximating nonlinear sinh-Gordon equation arising in surface theory, A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems, Coupling of the Crank-Nicolson scheme and localized meshless technique for viscoelastic wave model in fluid flow, Numerical simulation of fractional evolution model arising in viscoelastic mechanics, A stable meshfree PDE solver for source-type flows in porous media, On the solution of two-dimensional fractional Black-Scholes equation for European put option, A stable radial basis function partition of unity method with \(d\)-rectangular patches for modelling water flow in porous media, A localized meshless technique for solving 2D nonlinear integro-differential equation with multi-term kernels, The Direct Radial Basis Function Partition of Unity (D-RBF-PU) Method for Solving PDEs, A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models, A compact radial basis function partition of unity method, Radial-basis-function-based finite difference operator splitting method for pricing American options

Uses Software

• rbf_qr

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
• The Pricing of Options and Corporate Liabilities
• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
• Sampling inequalities for infinitely smooth functions, with applications to interpolation and machine learning
• Pricing European and American options by radial basis point interpolation
• Penalty methods for the numerical solution of American multi-asset option problems
• Improved radial basis function methods for multi-dimensional option pricing
• Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
• Penalty methods for American options with stochastic volatility
• Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
• A quasi-radial basis functions method for American options pricing.
• Operator splitting methods for American option pricing.
• A penalty method for American options with jump diffusion processes
• Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
• A scalable RBF-FD method for atmospheric flow
• The Runge phenomenon and spatially variable shape parameters in RBF interpolation
• Two singular diffusion problems
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Stable Computation of Differentiation Matrices and Scattered Node Stencils Based on Gaussian Radial Basis Functions
• Stable Computations with Gaussian Radial Basis Functions
• A Stable Algorithm for Flat Radial Basis Functions on a Sphere
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• THE PARTITION OF UNITY METHOD
• A nonlinear partial differential equation for american options in the entire domain of the state variable
• Galerkin Finite Element Methods for Parabolic Problems