The method of fundamental solutions for solving options pricing models

DOI10.1016/J.AMC.2006.01.046MaRDI QIDQ945379zbMATH OpenOpenAlexFDO

Authors B. E. Eshmatov

Publication date 12 September 2008

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

Full work available at URL https://doi.org/10.1016/j.amc.2006.01.046

zbMATH Keywords

American optionsmethod of fundamental solutionsartificial boundary conditionsBlack-Scholes equationsfree boundary conditions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites work

• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• Density results using Stokeslets and a method of fundamental solutions for the Stokes equations
• Fundamental Solutions Method for Elliptic Boundary Value Problems
• On Random Correlation Matrices
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• Option pricing: A simplified approach
• The Approximate Solution of Elliptic Boundary-Value Problems by Fundamental Solutions
• The Mathematics of Financial Derivatives
• The method of functional equations for the approximate solution of certain boundary value problems
• The method of fundamental solutions and quasi-Monte-Carlo method for diffusion equations
• The method of fundamental solutions for elliptic boundary value problems
• The method of fundamental solutions for scattering and radiation problems.
• The pricing of options and corporate liabilities
• Time-dependent fundamental solutions for homogeneous diffusion problems

Cited in

(8)

• Three-dimensional image reconstruction using the PF/MFS technique
• A direct solution method for pricing options involving the maximum process
• Option pricing and Greeks via a moving least square meshfree method
• Solution of option pricing equations using orthogonal polynomial expansion.
• Localized method of fundamental solutions for solving two-dimensional Laplace and biharmonic equations
• SOLVING THE IVANCEVIC OPTIONS PRICING MODEL WITH THE NUMERICAL METHOD SOME BLAISE-ABBO (SBA)
• Combinations of the method of fundamental solutions for general inverse source identification problems
• Numerical methods for backward Markov chain driven Black-Scholes option pricing

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