Option pricing using a computational method based on reproducing kernel
From MaRDI portal
Publication:2406304
DOI10.1016/j.cam.2017.05.032zbMath1405.91701OpenAlexW2727016594MaRDI QIDQ2406304
S. Vahdati, Mehdi Ghasemi, Mojtaba Fardi
Publication date: 27 September 2017
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.2017.05.032
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22)
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