Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
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Publication:952091
DOI10.1016/j.cam.2007.10.039zbMath1154.91026OpenAlexW2130811901WikidataQ60511950 ScholiaQ60511950MaRDI QIDQ952091
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
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) Direct numerical methods for linear systems and matrix inversion (65F05) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)
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