Radial-basis-function-based finite difference operator splitting method for pricing American options
DOI10.1080/00207160.2017.1395870zbMATH Open1499.65400OpenAlexW2765807750MaRDI QIDQ5028586FDOQ5028586
Authors: M. K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi 
Publication date: 10 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2017.1395870
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option pricingAmerican optionfinite differenceradial basis functionoperator splitting methodBloch-Scholes equation
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) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Finite difference methods for boundary value problems involving PDEs (65N06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical radial basis function approximation (65D12)
Cites Work
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- Meshfree approximation methods with Matlab. With CD-ROM.
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- 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
- A fast high-order finite difference algorithm for pricing American options
- Scattered node compact finite difference-type formulas generated from radial basis functions
- Optimal constant shape parameter for multiquadric based RBF-FD method
- A quasi-radial basis functions method for American options pricing.
- Pricing European and American options by radial basis point interpolation
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- Operator splitting methods for American option pricing.
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- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
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- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- On the optimal shape parameter for Gaussian radial basis function finite difference approximation of the Poisson equation
- Application of the local radial basis function-based finite difference method for pricing American options
- Options valuation by using radial basis function approximation
- Radial basis function partition of unity methods for pricing vanilla basket options
- Spline approximation method to solve an option pricing problem
Cited In (19)
- Optimal non-uniform finite difference grids for the Black-Scholes equations
- 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
- A high order method for pricing of financial derivatives using radial basis function generated finite differences
- An operator splitting method for multi-asset options with the Feynman-Kac formula
- 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
- A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
- A quasi-radial basis functions method for American options pricing.
- Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
- Efficient meshfree method for pricing European and American put options on a non-dividend paying asset
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Radial basis functions with application to finance: American put option under jump diffusion
- Application of the local radial basis function-based finite difference method for pricing American options
- Generalized finite integration method with Volterra operator for pricing multi-asset barrier option
- Radial basis functions method for valuing options: a multinomial tree approach
- Title not available (Why is that?)
- Radial basis function generated finite differences for option pricing problems
- A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation
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