Radial basis functions method for valuing options: a multinomial tree approach

DOI10.1016/J.CAM.2016.12.036MaRDI QIDQ515756zbMATH OpenOpenAlexFDO

Authors Shengliang Zhang

Publication date 16 March 2017

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2016.12.036

zbMATH Keywords

convergenceAmerican optionBlack-Scholesprobability distributionradial basis functions method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

• scientific article; zbMATH DE number 92475 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A meshless symplectic algorithm for multi-variate Hamiltonian PDEs with radial basis approximation
• A numerical study of some radial basis function based solution methods for elliptic PDEs
• An iterative method for pricing American options under jump-diffusion models
• Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
• Exponential convergence andH-c multiquadric collocation method for partial differential equations
• Local error estimates for radial basis function interpolation of scattered data
• Meshfree approximation methods with Matlab. With CD-ROM.
• Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
• Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
• Option pricing: A simplified approach
• Penalty methods for the numerical solution of American multi-asset option problems
• Quadratic convergence for valuing American options using a penalty method
• Scattered Data Interpolation: Tests of Some Method
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(8)

• A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
• Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems
• An efficient hybrid numerical method for the two-asset Black-Scholes PDE
• scientific article; zbMATH DE number 7569367 (Why is no real title available?)
• The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
• A new method for evaluating options based on multiquadric RBF-FD method
• Comparison of radial basis functions in evaluating the Asian option
• scientific article; zbMATH DE number 2154388 (Why is no real title available?)

Describes a project that uses

Uses Software

• Matlab

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