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

DOI10.1016/J.CAM.2017.11.006MaRDI QIDQ679600zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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

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