A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems
DOI10.3846/mma.2018.008zbMath1488.65498MaRDI QIDQ4959381
Fazlollah Soleymani, Rafael Company, Lucas Jodar, Vera N. Egorova
Publication date: 13 September 2021
Published in: Mathematical Modelling and Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3846/mma.2018.008
American option pricing; radial basis functions; Wendland function; cross derivative elimination; multi-asset problem
91G60: Numerical methods (including Monte Carlo methods)
65N35: Spectral, collocation and related methods for boundary value problems involving PDEs
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
65D15: Algorithms for approximation of functions
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
65D12: Numerical radial basis function approximation
Uses Software
