A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems

DOI10.3846/mma.2018.008zbMath1488.65498OpenAlexW2789004241WikidataQ130209085 ScholiaQ130209085MaRDI QIDQ4959381

Rafael Company, Fazlollah Soleymani, 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

zbMATH Keywords

American option pricingradial basis functionsWendland functioncross derivative eliminationmulti-asset problem

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Algorithms for approximation of functions (65D15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical radial basis function approximation (65D12)

Related Items (7)

A Gaussian radial basis function-finite difference technique to simulate the HCIR equation ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ An improved computationally efficient method for finding the Drazin inverse ⋮ Pricing multi-asset option problems: a Chebyshev pseudo-spectral method ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations

Uses Software

• Matlab
• BENCHOP

Cites Work

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• Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems

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