The evaluation of compound options based on RBF approximation methods

DOI10.1016/j.enganabound.2015.03.009zbMath1403.91376OpenAlexW2053483645MaRDI QIDQ1654739

Ali Mahzarnia, Ali Safdari-Vaighani

Publication date: 9 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.2015.03.009

zbMATH Keywords

Black-Scholesmulti-asset optioncompound optionRBF-QR

Mathematics Subject Classification ID

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) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Uses Software

• rbf_qr

Cites Work

• Unnamed Item
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• Far Field Boundary Conditions for Black--Scholes Equations
• Stable Computation of Differentiation Matrices and Scattered Node Stencils Based on Gaussian Radial Basis Functions
• Stable Computations with Gaussian Radial Basis Functions
• A Stable Algorithm for Flat Radial Basis Functions on a Sphere