Radial basis function partition of unity operator splitting method for pricing multi-asset American options

DOI10.1007/s10543-016-0616-yzbMath1354.91169MaRDI QIDQ727900

Victor Shcherbakov

Publication date: 21 December 2016

Published in: BIT (Search for Journal in Brave)

Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-284299

zbMATH Keywords

radial basis function; penalty method; partition of unity; American option; multi-asset option; operator splitting method; Greeks

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

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

65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs

Uses Software

• BENCHOP