High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility

DOI10.1016/j.enganabound.2022.11.015zbMath1521.91388MaRDI QIDQ6040736

Nawdha Thakoor, Muddun Bhuruth, Yannick Désiré Tangman, Jason Narsoo

Publication date: 22 May 2023

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

zbMATH Keywords

stochastic volatility; American options; Gaussian RBF-FD; real estate index derivatives

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

65M75: Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs

65D12: Numerical radial basis function approximation