A greedy algorithm for partition of unity collocation method in pricing American options

DOI10.1002/MMA.5757zbMATH Open1427.91296OpenAlexW2964644601MaRDI QIDQ5205142FDOQ5205142

Authors:

Publication date: 10 December 2019

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.5757

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zbMATH Keywords

greedy algorithmAmerican optionradial basis functionmeshless methodpartition of unity

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35)

Cited In (3)

• Computational algorithm for financial mathematical model based on European option
• On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs
• A semi-Lagrangian radial basis function partition of unity closest point method for advection-diffusion equations on surfaces

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