Inverse multi-quadric RBF for computing the weights of FD method: application to American options

DOI10.1016/j.cnsns.2018.04.011OpenAlexW2797271521MaRDI QIDQ2207970

Fazlollah Soleymani, Farhad Khaksar Haghani, Mahdiar Barfeie

Publication date: 23 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2018.04.011

zbMATH Keywords

radial basis functionAmerican optionRBF-FD methodFD weightsinverse multi-quadric

Mathematics Subject Classification ID

Related Items (10)

Path-dependent game options with Asian features ⋮ A Gaussian radial basis function-finite difference technique to simulate the HCIR equation ⋮ An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options ⋮ Constructing an efficient multi-step iterative scheme for nonlinear system of equations ⋮ Perpetual game options with a multiplied penalty ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations ⋮ A local radial basis function-finite difference (RBF-FD) method for solving 1D and 2D coupled Schrödinger-Boussinesq (SBq) equations ⋮ New iterative methods for finding matrix sign function: derivation and application

Uses Software

• Matlab
• BENCHOP

Cites Work

• Stable calculation of Gaussian-based RBF-FD stencils
• RBF-FD formulas and convergence properties
• Exponential time differencing for stiff systems
• Some comments on the ill-conditioning of the method of fundamental solutions
• Penalty methods for American options with stochastic volatility
• A new method for evaluating options based on multiquadric RBF-FD method
• Multiresolution methods in scattered data modelling.
• Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
• A radial basis function (RBF)-finite difference (FD) method for diffusion and reaction-diffusion equations on surfaces
• Enhancing finite differences with radial basis functions: experiments on the Navier-Stokes equations
• Scattered node compact finite difference-type formulas generated from radial basis functions
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• BENCHOP – The BENCHmarking project in option pricing
• On Dimension-independent Rates of Convergence for Function Approximation with Gaussian Kernels
• Classroom Note:Calculation of Weights in Finite Difference Formulas
• Solving PDEs with radial basis functions
• Numerical Methods for Ordinary Differential Equations
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