On a new family of radial basis functions: mathematical analysis and applications to option pricing
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Publication:2406292
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
radial basis functionsartificial boundary conditionsBernstein functionscompletely monotone functionsAmerican options as free boundary problemsrepeated integrals of complementary error function
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)
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Uses Software
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