Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems
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Publication:2004440
DOI10.1016/j.camwa.2019.06.005zbMath1443.65011OpenAlexW2950535837WikidataQ127659749 ScholiaQ127659749MaRDI QIDQ2004440
Publication date: 7 October 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2019.06.005
finite difference formulasAmerican optionsradial point interpolation methodtwo-asset financial optionsweak-form algorithm
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)
Cites Work
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