Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha-beta-rho dynamics

DOI10.1017/S1446181121000237MaRDI QIDQ5158754zbMATH OpenOpenAlexFDO

Authors

Publication date 26 October 2021

Published in The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1446181121000237

zbMATH Keywords

financial optionsno-arbitrage priceslocal radial basis functionsstochastic alpha-beta-rho model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs with randomness, stochastic partial differential equations (35R60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Numerical radial basis function approximation (65D12)

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Cites work

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Cited in

(2)

• A novel local meshless scheme based on the radial basis function for pricing multi-asset options
• A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options

Describes a project that uses

Uses Software

• Matlab

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