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

DOI10.1002/MMA.5757MaRDI QIDQ5205142zbMATH OpenOpenAlexFDO

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

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)

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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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