Efficient meshfree method for pricing European and American put options on a non-dividend paying asset
DOI10.1007/978-81-322-2485-3_36zbMATH Open1335.91108OpenAlexW2399044953MaRDI QIDQ2801932FDOQ2801932
Authors: Kailash C. Patidar, Abdelmgid O. M. Sidahmed 
Publication date: 22 April 2016
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-81-322-2485-3_36
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Cites Work
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- A method for solving partial differential equations via radial basis functions: application to the heat equation
- The Mathematics of Financial Derivatives
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- Compact finite difference method for American option pricing
- Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
- Adaptive \(\theta \)-methods for pricing American options
- Generalized trapezoidal formulas for valuing American options
Cited In (6)
- Greeks computation in the option pricing problem by means of RBF-PU methods
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- Meshless collocation method for option pricing by variance gamma model
- Option pricing and Greeks via a moving least square meshfree method
- Pricing European and American options by radial basis point interpolation
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