Pricing European and American options by radial basis point interpolation

DOI10.1016/j.amc.2014.11.016zbMath1328.91286OpenAlexW2081668429MaRDI QIDQ903013

Jamal Amani Rad, Kourosh Parand, Luca Vincenzo Ballestra

Publication date: 4 January 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2014.11.016

zbMATH Keywords

option pricingpenalty methodBlack-Scholesmeshfree methodprojected successive overrelaxationradial basis point interpolation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Approximation by other special function classes (41A30)

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