A numerical study of Asian option with radial basis functions based finite differences method

DOI10.1016/j.enganabound.2014.07.003zbMath1403.91373OpenAlexW1974518415MaRDI QIDQ1653560

Alpesh Kumar, Lok Pati Tripathi, Mohan K. Kadalbajoo

Publication date: 6 August 2018

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2014.07.003

zbMATH Keywords

finite differenceradial basis functionAsian optionBlack-Scholes equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (16)

Efficient Spectral-Galerkin Method for Pricing Asian Options ⋮ A Gaussian radial basis function-finite difference technique to simulate the HCIR equation ⋮ A radial basis functions based finite differences method for wave equation with an integral condition ⋮ A robust numerical technique and its analysis for computing the price of an Asian option ⋮ RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility ⋮ A trustable shape parameter in the kernel-based collocation method with application to pricing financial options ⋮ High-order compact finite difference scheme for pricing Asian option with moving boundary condition ⋮ High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility ⋮ A fourth order numerical method based on B-spline functions for pricing Asian options ⋮ Stabilized finite element approximation of the Swift-Hohenberg model on evolving surfaces ⋮ Radial basis function generated finite differences for option pricing problems ⋮ An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options ⋮ An efficient numerical method for pricing option under jump diffusion model ⋮ A numerical study of Asian option with high-order compact finite difference scheme ⋮ Pricing European passport option with radial basis function ⋮ A meshless method for Asian style options pricing under the Merton jump-diffusion model

Cites Work

• The solitary wave solution of coupled Klein-Gordon-Zakharov equations via two different numerical methods
• A reliable numerical method to price arithmetic Asian options
• The shape parameter in the Gaussian function
• A method for solving partial differential equations via radial basis functions: application to the heat equation
• Multiquadric and its shape parameter -- a numerical investigation of error estimate, condition number, and round-off error by arbitrary precision computation
• A not-a-knot meshless method using radial basis functions and predictor-corrector scheme to the numerical solution of improved Boussinesq equation
• On the solution of the non-local parabolic partial differential equations via radial basis functions
• Small dimension PDE for discrete Asian options
• Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
• A numerical method for solution of the two-dimensional sine-Gordon equation using the radial basis functions
• Some observations regarding interpolants in the limit of flat radial basis functions
• A quasi-radial basis functions method for American options pricing.
• Stable computation of multiquadric interpolants for all values of the shape parameter
• Numerical solution of the system of second-order boundary value problems using the local radial basis functions based differential quadrature collocation method
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• Radial basis functions with application to finance: American put option under jump diffusion
• Accurate pricing formulas for Asian options
• A convergent quadratic-time lattice algorithm for pricing European-style Asian options
• Numerical solution of the nonlinear Klein-Gordon equation using radial basis functions
• Solution of two-dimensional modified anomalous fractional sub-diffusion equation via radial basis functions (RBF) meshless method
• The shape parameter in the Gaussian function. II
• The shape parameter in the shifted surface spline. III.
• Scattered node compact finite difference-type formulas generated from radial basis functions
• A Meshless Method Using Radial Basis Functions for the Numerical Solution of Two-Dimensional Complex Ginzburg-Landau Equation
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The Mathematics of Financial Derivatives
• The value of an Asian option

This page was built for publication: A numerical study of Asian option with radial basis functions based finite differences method