Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option

DOI10.1016/j.camwa.2013.06.002zbMath1360.91154MaRDI QIDQ524570

Mohan K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi

Publication date: 3 May 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2013.06.002

zbMATH Keywords

finite difference; radial basis function; exotic option; L-stable method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs