Radial basis functions method for valuing options: a multinomial tree approach
DOI10.1016/J.CAM.2016.12.036zbMATH Open1358.91112OpenAlexW2576598174MaRDI QIDQ515756FDOQ515756
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
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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)
Cites Work
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- Quadratic convergence for valuing American options using a penalty method
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- Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
- A numerical study of some radial basis function based solution methods for elliptic PDEs
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- The Mathematics of Financial Derivatives
- Exponential convergence andH-c multiquadric collocation method for partial differential equations
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- Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
- An iterative method for pricing American options under jump-diffusion models
- A meshless symplectic algorithm for multi-variate Hamiltonian PDEs with radial basis approximation
Cited In (8)
- The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method
- Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems
- A primal-dual active set approach to the valuation of American options in regime-switching models: numerical solutions and convergence analysis
- Title not available (Why is that?)
- A new method for evaluating options based on multiquadric RBF-FD method
- Title not available (Why is that?)
- Comparison of radial basis functions in evaluating the Asian option
- An efficient hybrid numerical method for the two-asset Black-Scholes PDE
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