Pricing and simulation for real estate index options: radial basis point interpolation

DOI10.1016/j.physa.2018.02.135zbMath1494.91156OpenAlexW2794414174WikidataQ130098660 ScholiaQ130098660MaRDI QIDQ2150396

Pu Gong, Jiayue Wang, Dong Zou

Publication date: 27 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.02.135

zbMATH Keywords

option pricingradial basis point interpolationarbitrage-free approachreal estate index options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility ⋮ Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems ⋮ A robust nonstandard finite difference scheme for pricing real estate index options

Cites Work

• Pricing European and American options by radial basis point interpolation
• Penalty methods for the numerical solution of American multi-asset option problems
• A fast high-order finite difference algorithm for pricing American options
• A model for pricing real estate derivatives with stochastic interest rates
• An efficient binomial method for pricing American options
• Local Heaviside weighted MLPG meshless method for two-dimensional solids using compactly supported radial basis functions.
• On the optimal shape parameters of radial basis functions used for 2-D meshless methods
• A quasi-radial basis functions method for American options pricing.
• Extrapolation of difference methods in option valuation
• High-order compact scheme with multigrid local mesh refinement procedure for convection-diffusion problems.
• Options valuation by using radial basis function approximation
• An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
• Pricing real estate index options under stochastic interest rates
• Efficient pricing of Bermudan options using recombining quadratures
• A radial basis function method for the shallow water equations on a sphere
• On the acceleration of explicit finite difference methods for option pricing

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