Pricing European and American Options by SPH Method

DOI10.1142/S0219876219500439MaRDI QIDQ4985141zbMATH OpenOpenAlexWikidataFDO

Authors Boujemâa Achchab, A. Cheikh Maloum, Abdelmjid Qadi El Idrissi

Publication date 22 April 2021

Published in International Journal of Computational Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219876219500439

zbMATH Keywords

Black-Scholes equationSPH methodEuropean and American options

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Fluid mechanics (76-XX)

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Cites work

• scientific article; zbMATH DE number 4010067 (Why is no real title available?)
• scientific article; zbMATH DE number 1396373 (Why is no real title available?)
• A quasi-radial basis functions method for American options pricing.
• An analysis of 1-D smoothed particle hydrodynamics kernels
• Computational Methods for Option Pricing
• Error estimation in smoothed particle hydrodynamics and a new scheme for second derivatives
• Smoothed Particle Hydrodynamics
• Smoothed particle hydrodynamics (SPH): an overview and recent developments
• Smoothed particle hydrodynamics: theory and application to non-spherical stars
• The pricing of options and corporate liabilities

Cited in

(2)

• On a high-order Gaussian radial basis function generated Hermite finite difference method and its application
• An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance

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