A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options

DOI10.1016/J.CAM.2019.112523zbMATH Open1437.91458OpenAlexW2979700076MaRDI QIDQ2291997FDOQ2291997

Emran Tohidi, Yin Yang, Fazlollah Soleymani, Mahdiar Barfeie

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

zbMATH Keywords

initial conditionfourth-order convergenceasset-or-nothingcash-or-nothingRBF-HFD

Mathematics Subject Classification ID

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

• BENCHOP – The BENCHmarking project in option pricing
• BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
• On the rate of convergence of discrete-time contingent claims.
• Gaussian RBF-FD weights and its corresponding local truncation errors
• Einige abstrakte Begriffe in der numerischen Mathematik (Anwendungen der Halbordnung).(Some abstract notions in the numerical mathematic. (Applications et semiorder))
• Scattered node compact finite difference-type formulas generated from radial basis functions
• On using radial basis functions in a ``finite difference mode with applications to elasticity problems
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• A course in derivative securities. Introduction to theory and computation.
• Jacobi spectral Galerkin methods for fractional integro-differential equations
• A robust and accurate finite difference method for a generalized Black-Scholes equation
• Explicit Time-Stepping for Stiff ODEs
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• Numerical Solution of Ordinary Differential Equations
• An Explicit Sixth-Order Runge-Kutta Formula
• Tridiagonal Toeplitz matrices: properties and novel applications
• A meshless discrete collocation method for the numerical solution of singular-logarithmic boundary integral equations utilizing radial basis functions
• A Radial Basis Function (RBF) Compact Finite Difference (FD) Scheme for Reaction-Diffusion Equations on Surfaces
• Efficient hedging in general Black-Scholes model
• Revisiting generalized FEM: a Petrov-Galerkin enrichment based FEM interpolation for Helmholtz problem
• Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
• Radial basis function generated finite differences for option pricing problems
• Numerical solutions for solving time fractional Fokker-Planck equations based on spectral collocation methods
• Pricing Derivatives Under Lévy Models
• Illustrating finance policy with Mathematica
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
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• The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
• Introduction to Quantitative Methods for Financial Markets
• Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
• Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
• Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation
• Ordinary Differential Equations for Engineers

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

Uses Software

• Mathematica
• UnRisk
• BENCHOP

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