Radial basis function generated finite differences for option pricing problems

DOI10.1016/j.camwa.2017.11.015zbMath1409.91279OpenAlexW2771952821MaRDI QIDQ1732412

Lina von Sydow, Slobodan Milovanović

Publication date: 25 March 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.11.015

zbMATH Keywords

finite differencesPDEshigh-dimensional problemsRBF-FDmulti-asset option pricingradial basis function approximation

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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (15)

BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems ⋮ An unfitted RBF-FD method in a least-squares setting for elliptic PDEs on complex geometries ⋮ Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ Guidelines for RBF-FD discretization: numerical experiments on the interplay of a multitude of parameter choices ⋮ A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator ⋮ A high order method for pricing of financial derivatives using radial basis function generated finite differences ⋮ RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function ⋮ Pricing multi-asset option problems: a Chebyshev pseudo-spectral method ⋮ Phase distribution control of neural oscillator populations using local radial basis function meshfree technique with application in epileptic seizures: a numerical simulation approach ⋮ Monomial augmentation guidelines for RBF-FD from accuracy versus computational time perspective ⋮ Optimal non-uniform finite difference grids for the Black-Scholes equations ⋮ Anisotropic radial basis function methods for continental size ice sheet simulations ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations ⋮ A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options ⋮ An efficient operator-splitting radial basis function-generated finite difference (RBF-FD) scheme for image noise removal based on nonlinear total variation models

Uses Software

• Matlab
• BENCHOP
• rbf_qr

Cites Work

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