On a new family of radial basis functions: mathematical analysis and applications to option pricing

DOI10.1016/j.cam.2017.06.012zbMath1372.65283OpenAlexW2732808416MaRDI QIDQ2406292

Seyed-Mohammad-Mahdi Kazemi, Mehdi Dehghan, Ali Foroush Bastani

Publication date: 27 September 2017

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.2017.06.012

zbMATH Keywords

radial basis functionsartificial boundary conditionsBernstein functionscompletely monotone functionsAmerican options as free boundary problemsrepeated integrals of complementary error function

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (10)

An upwind local radial basis functions-differential quadrature (RBF-DQ) method with proper orthogonal decomposition (POD) approach for solving compressible Euler equation ⋮ On the numerical solution of time fractional Black-Scholes equation ⋮ A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model ⋮ A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models ⋮ An explicit spectral collocation method for the linearized Korteweg-de Vries equation on unbounded domain ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ Simulations of dendritic solidification via the diffuse approximate method ⋮ Multiscale radial kernels with high-order generalized Strang-Fix conditions ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ Boundary shape function iterative method for nonlinear second-order boundary value problems with nonlinear boundary conditions

Uses Software

• Maple
• Matlab
• DLMF
• redbKIT

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