Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach

DOI10.1016/j.chaos.2019.01.003zbMath1448.91311OpenAlexW2914972432WikidataQ128532468 ScholiaQ128532468MaRDI QIDQ2212455

Fazlollah Soleymani, Ali Akgül

Publication date: 23 November 2020

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2019.01.003

zbMATH Keywords

option pricingKrylov methodexponential integratorGaussian RBFRBF-FD method

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical methods for stiff equations (65L04)

Related Items (13)

Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options ⋮ Some nonlinear fractional PDEs involving \(\beta \)-derivative by using rational \(\exp\left( - \operatorname{\Omega} \left( \eta\right)\right)\)-expansion method ⋮ Computational algorithm for financial mathematical model based on European option ⋮ On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE ⋮ On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs ⋮ An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation ⋮ Local radial basis function collocation method for Stokes equations with interface conditions ⋮ Asian-barrier option pricing formulas of uncertain financial market ⋮ Unnamed Item ⋮ Unnamed Item ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations

Uses Software

• Matlab
• MATLAB expm
• BENCHOP
• phipm
• mftoolbox

Cites Work

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