Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
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Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- A method for solving partial differential equations via radial basis functions: application to the heat equation
- A not-a-knot meshless method using radial basis functions and predictor-corrector scheme to the numerical solution of improved Boussinesq equation
- A numerical method for solution of the two-dimensional sine-Gordon equation using the radial basis functions
- A numerical method for two-dimensional Schrödinger equation using collocation and radial basis functions
- A quasi-radial basis functions method for American options pricing.
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility
- High order smoothing schemes for inhomogeneous parabolic problems with applications in option pricing
- Local multiquadric approximation for solving boundary value problems
- Local radial basis function-based differential quadrature method and its application to solve two-dimensional incompressible Navier--Stokes equations
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
- Numerical solution of the nonlinear Klein-Gordon equation using radial basis functions
- On parallel algorithms for semidiscretized parabolic partial differential equations based on subdiagonal Padé approximations
- On the optimal shape parameter for Gaussian radial basis function finite difference approximation of the Poisson equation
- On the solution of the non-local parabolic partial differential equations via radial basis functions
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- Options valuation by using radial basis function approximation
- Point interpolation collocation method for the solution of partial differential equations
- Radial basis functions with application to finance: American put option under jump diffusion
- Scattered node compact finite difference-type formulas generated from radial basis functions
- Some observations regarding interpolants in the limit of flat radial basis functions
- Stable computation of multiquadric interpolants for all values of the shape parameter
- The solution of linear and nonlinear systems of Volterra functional equations using Adomian-Padé technique
Cited in
(10)- A comparative analysis of local meshless formulation for multi-asset option models
- Radial basis function generated finite differences for option pricing problems
- A class of fourth-order Padé schemes for fractional exotic options pricing model
- Selection of radial basis functions for the accuracy of meshfree Galerkin method in rotating Euler-Bernoulli beam problem
- Local RBF method for multi-dimensional partial differential equations
- A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
- A radial basis functions based finite differences method for wave equation with an integral condition
- A radial basis function scheme for option pricing in exponential Lévy models
- Application of the local radial basis function-based finite difference method for pricing American options
- An efficient numerical method for pricing option under jump diffusion model
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