Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
From MaRDI portal
Publication:952091
DOI10.1016/J.CAM.2007.10.039zbMATH Open1154.91026OpenAlexW2130811901WikidataQ60511950 ScholiaQ60511950MaRDI QIDQ952091FDOQ952091
Krister Åhlander, Andreas Hall, Elisabeth Larsson
Publication date: 6 November 2008
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.2007.10.039
Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05) Numerical methods (including Monte Carlo methods) (91G60) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- The pricing of options and corporate liabilities
- A numerical study of some radial basis function based solution methods for elliptic PDEs
- Stable computation of multiquadric interpolants for all values of the shape parameter
- Theoretical and computational aspects of multivariate interpolation with increasingly flat radial basis functions
- Spectral convergence of multiquadric interpolation
- Miscellaneous error bounds for multiquadric and related interpolators
- Multivariate interpolation by polynomials and radial basis functions
- Applications of the generalized Fourier transform in numerical linear algebra
- Eigenvalues for equivariant matrices
- Preconditioning for radial basis functions with domain decomposition methods
- Exploiting partial or complete geometrical symmetry in 3D symmetric Galerkin indirect BEM formulations
- Tools for computational finance.
- Improved radial basis function methods for multi-dimensional option pricing
- Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- Fast Fourier Transforms on Finite Non-Abelian Groups
- Rapid evaluation of radial basis functions
Cited In (35)
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Enhancing credit default swap valuation with meshfree methods
- Pricing external barrier options under a stochastic volatility model
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- An RBF approach for oil futures pricing under the jump-diffusion model
- Improved radial basis function methods for multi-dimensional option pricing
- A high order method for pricing of financial derivatives using radial basis function generated finite differences
- An operator splitting method for multi-asset options with the Feynman-Kac formula
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
- Radial basis function partition of unity operator splitting method for pricing multi-asset American options
- A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- Local RBF method for multi-dimensional partial differential equations
- A new method for evaluating options based on multiquadric RBF-FD method
- Recovering default risk from CDS spreads with a nonlinear filter
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
- A numerical study of Asian option with radial basis functions based finite differences method
- Radial basis function partition of unity methods for pricing vanilla basket options
- On the selection of a good value of shape parameter in solving time-dependent partial differential equations using RBF approximation method
- Symmetrizing grids, radial basis functions, and Chebyshev and Zernike polynomials for the \(D_4\) symmetry group; interpolation within a squircle. I
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- Sparse generalized Fourier transforms
- Radial-basis-function-based finite difference operator splitting method for pricing American options
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
- Radial basis functions with application to finance: American put option under jump diffusion
- Application of the local radial basis function-based finite difference method for pricing American options
- Two numerical meshless techniques based on radial basis functions (RBFs) and the method of generalized moving least squares (GMLS) for simulation of coupled Klein-Gordon-Schrödinger (KGS) equations
- A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- Radial basis function generated finite differences for option pricing problems
- Radial basis functions and level set method for image segmentation using partial differential equation
This page was built for publication: Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q952091)
