Efficient meshfree method for pricing European and American put options on a non-dividend paying asset

DOI10.1007/978-81-322-2485-3_36MaRDI QIDQ2801932zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stability analysismeshfree methodsfree boundary value problemsAmerican and European options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A method for solving partial differential equations via radial basis functions: application to the heat equation
• Adaptive \(\theta \)-methods for pricing American options
• Compact finite difference method for American option pricing
• Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
• Generalized trapezoidal formulas for valuing American options
• Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
• Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
• Option pricing when underlying stock returns are discontinuous
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

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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