Application of the local radial basis function-based finite difference method for pricing American options

DOI10.1080/00207160.2014.950571zbMath1317.65161MaRDI QIDQ5266153

Mohan K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi

Publication date: 30 July 2015

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2014.950571

zbMATH Keywords

finite difference; radial basis function; Black-Scholes equation; American option

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

65L20: Stability and convergence of numerical methods for ordinary differential equations

65L10: Numerical solution of boundary value problems involving ordinary differential equations