A high order method for pricing of financial derivatives using radial basis function generated finite differences

DOI10.1016/j.matcom.2020.02.005zbMath1453.91108arXiv1808.05890OpenAlexW3011962658MaRDI QIDQ2221552

Lina von Sydow, Slobodan Milovanović

Publication date: 2 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.05890

zbMATH Keywords

high-order methodspricing of financial derivativessmoothing of initial dataradial basis function generated finite differences

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) Numerical radial basis function approximation (65D12)

Related Items

An accurate and stable numerical method for option hedge parameters, An efficient radial basis function generated finite difference meshfree scheme to price multi-dimensional PDEs in financial options, On the construction of a quartically convergent method for high-dimensional Black-Scholes time-dependent PDE, Optimal non-uniform finite difference grids for the Black-Scholes equations, On a high-order Gaussian radial basis function generated Hermite finite difference method and its application, A Least Squares Radial Basis Function Finite Difference Method with Improved Stability Properties

Uses Software

• BENCHOP

Cites Work

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