A multiquadric quasi-interpolations method for CEV option pricing model
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Publication:1631408
DOI10.1016/J.CAM.2018.03.046zbMath1418.91606OpenAlexW2801812810MaRDI QIDQ1631408
Shengliang Zhang, Yu Yang, Hong-Qiang Yang
Publication date: 6 December 2018
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.2018.03.046
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)
Related Items (8)
New optimization approach of state estimation for neural networks with mixed delays ⋮ A kind of bivariate Bernoulli-type multiquadric quasi-interpolation operator with higher approximation order ⋮ A meshless local collocation method for time fractional diffusion wave equation ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ Abel-Goncharov type multiquadric quasi-interpolation operators with higher approximation order ⋮ Multiquadric quasi-interpolation for integral functionals ⋮ Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems ⋮ The fractional and mixed-fractional CEV model
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