Pricing real estate index options by compactly supported radial-polynomial basis point interpolation

DOI10.1016/J.CAM.2017.11.006zbMATH Open1405.91695OpenAlexW2768673723MaRDI QIDQ679600FDOQ679600

Authors: Xubiao He, Jiayue Wang 

Publication date: 11 January 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.11.006

Recommendations

• Pricing and simulation for real estate index options: radial basis point interpolation
• Pricing European and American options by radial basis point interpolation
• The evaluation of compound options based on RBF approximation methods
• Pricing American options under multi-states: a radial basis collocation approach
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach

zbMATH Keywords

meshless methodCSRBFPBFreal estate index option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05)

Cites Work

• Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
• Error estimates for interpolation by compactly supported radial basis functions of minimal degree
• Compactly supported radial basis functions for shallow water equations.
• Option pricing: A simplified approach
• A fast high-order finite difference algorithm for pricing American options
• Compactly supported positive definite radial functions
• On the optimal shape parameters of radial basis functions used for 2-D meshless methods
• A point interpolation meshless method based on radial basis functions
• A point interpolation method for two-dimensional solids
• A finite volume approach for contingent claims valuation
• On the acceleration of explicit finite difference methods for option pricing
• Penalty methods for the numerical solution of American multi-asset option problems
• Local Heaviside weighted MLPG meshless method for two-dimensional solids using compactly supported radial basis functions.
• Extrapolation of difference methods in option valuation
• An efficient binomial method for pricing American options
• A model for pricing real estate derivatives with stochastic interest rates

Cited In (3)

• A robust nonstandard finite difference scheme for pricing real estate index options
• Pricing and simulation for real estate index options: radial basis point interpolation
• High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility

This page was built for publication: Pricing real estate index options by compactly supported radial-polynomial basis point interpolation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q679600)