Radial-basis-function-based finite difference operator splitting method for pricing American options
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American optionBloch-Scholes equationfinite differenceoperator splitting methodoption pricingradial basis function
Numerical radial basis function approximation (65D12) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Finite difference methods for boundary value problems involving PDEs (65N06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A fast high-order finite difference algorithm for pricing American options
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- A quasi-radial basis functions method for American options pricing.
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- An upwind approach for an American and European option pricing model
- Application of the local radial basis function-based finite difference method for pricing American options
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- Improved accuracy of multiquadric interpolation using variable shape parameters
- Improved radial basis function methods for multi-dimensional option pricing
- 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
- Meshfree approximation methods with Matlab. With CD-ROM.
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
- Numerical pricing of options using high-order compact finite difference schemes
- On the optimal shape parameter for Gaussian radial basis function finite difference approximation of the Poisson equation
- Operator splitting methods for American option pricing.
- Optimal constant shape parameter for multiquadric based RBF-FD method
- Optimal variable shape parameter for multiquadric based RBF-FD method
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- Options valuation by using radial basis function approximation
- Penalty methods for the numerical solution of American multi-asset option problems
- Pricing European and American options by radial basis point interpolation
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Radial basis function partition of unity methods for pricing vanilla basket options
- Radial basis functions with application to finance: American put option under jump diffusion
- RBF-FD formulas and convergence properties
- Scattered node compact finite difference-type formulas generated from radial basis functions
- Spline approximation method to solve an option pricing problem
Cited in
(20)- A quasi-radial basis functions method for American options pricing.
- Radial basis function generated finite differences for option pricing problems
- Radial basis functions with application to finance: American put option under jump diffusion
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Optimal non-uniform finite difference grids for the Black-Scholes equations
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- A high order method for pricing of financial derivatives using radial basis function generated finite differences
- A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
- An operator splitting method for multi-asset options with the Feynman-Kac formula
- A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation
- Efficient meshfree method for pricing European and American put options on a non-dividend paying asset
- scientific article; zbMATH DE number 5346999 (Why is no real title available?)
- Radial basis functions method for valuing options: a multinomial tree approach
- Application of the local radial basis function-based finite difference method for pricing American options
- Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options
- Operator splitting methods for pricing American options under stochastic volatility
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