A novel local meshless scheme based on the radial basis function for pricing multi-asset options
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Cites work
- A localized RBF-MLPG method for numerical study of heat and mass transfer equations in elliptic fins
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- A quasi-radial basis functions method for American options pricing.
- A random variable shape parameter strategy for radial basis function approximation methods
- Application of the local radial basis function-based finite difference method for pricing American options
- Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
- Circumventing the ill-conditioning problem with multiquadric radial basis functions: Applications to elliptic partial differential equations
- Classroom Note:Calculation of Weights in Finite Difference Formulas
- scientific article; zbMATH DE number 1371459 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- Improved radial basis function methods for multi-dimensional option pricing
- Interpolation in the limit of increasingly flat radial basis functions
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- Numerical investigation based on a local meshless radial point interpolation for solving coupled nonlinear reaction-diffusion system
- Numerical investigation of the time-fractional Black-Scholes equation with barrier choice of regulating European option
- Numerical simulation and error estimation of the time-dependent Allen-Cahn equation on surfaces with radial basis functions
- Numerical simulation of a prostate tumor growth model by the RBF-FD scheme and a semi-implicit time discretization
- Paul Wilmott introduces quantitative finance. With CD-ROM
- Pricing European and American options by radial basis point interpolation
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Radial basis functions with application to finance: American put option under jump diffusion
- RBF-FD formulas and convergence properties
- Scattered Data Approximation
- Solving the forward-backward heat equation with a non-overlapping domain decomposition method based on multiquadric RBF meshfree method
- Some observations regarding interpolants in the limit of flat radial basis functions
- The impact of the Chebyshev collocation method on solutions of the time-fractional Black-Scholes
- The pricing of options and corporate liabilities
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