RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility

DOI10.1016/j.enganabound.2017.11.003zbMath1403.91353OpenAlexW2770640374MaRDI QIDQ1658811

Désiré Yannick Tangman, Muddun Bhuruth, Nawdha Thakoor

Publication date: 15 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.2017.11.003

zbMATH Keywords

stochastic volatilityAmerican optionsmultiquadricsconstant elasticity of variancelocalized radial basis functions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (7)

A trustable shape parameter in the kernel-based collocation method with application to pricing financial options ⋮ High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ A meshless local collocation method for time fractional diffusion wave equation ⋮ Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM ⋮ LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS ⋮ Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems

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