Application of the local radial basis function-based finite difference method for pricing American options
From MaRDI portal
Publication:5266153
DOI10.1080/00207160.2014.950571zbMath1317.65161OpenAlexW2032887086MaRDI QIDQ5266153
Mohan K. Kadalbajoo, Lok Pati Tripathi, Alpesh Kumar
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
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solution of boundary value problems involving ordinary differential equations (65L10)
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