A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
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Publication:2291997
DOI10.1016/J.CAM.2019.112523zbMATH Open1437.91458OpenAlexW2979700076MaRDI QIDQ2291997FDOQ2291997
Authors: Yin Yang, Fazlollah Soleymani, Mahdiar Barfeie, Emran Tohidi 
Publication date: 31 January 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2019.112523
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Approximation by polynomials (41A10) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
Cites Work
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Cited In (5)
- A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
- Analysis of two-level mesh method for partial integro-differential equation
- Solving the Korteweg-de Vries equation with Hermite-based finite differences
- Multiscale modeling and analysis for some special additive noises driven stochastic partial differential equations
- A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation
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