A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
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Publication:2291997
DOI10.1016/j.cam.2019.112523zbMath1437.91458OpenAlexW2979700076MaRDI QIDQ2291997
Emran Tohidi, Yin Yang, Fazlollah Soleymani, Mahdiar Barfeie
Publication date: 31 January 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2019.112523
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by polynomials (41A10) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
Related Items (5)
Analysis of two-level mesh method for partial integro-differential equation ⋮ Multiscale modeling and analysis for some special additive noises driven stochastic partial differential equations ⋮ A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options ⋮ A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation ⋮ Solving the Korteweg-de Vries equation with Hermite-based finite differences
Uses Software
Cites Work
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