A trustable shape parameter in the kernel-based collocation method with application to pricing financial options

DOI10.1016/j.enganabound.2021.02.005zbMath1464.91076OpenAlexW3135809430MaRDI QIDQ2662414

Mehdi Dehghan, Ali Foroush Bastani, Mohammad Shirzadi

Publication date: 13 April 2021

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2021.02.005

zbMATH Keywords

option pricingradial basis functionpartial integro-differential equationsoptimal shape parameterhigh-dimensional PDEskernel-based collocation method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (4)

Coupled Kansa and hybrid optimization methodological approach for Kolmogorov-Feller equations ⋮ A local scheme for numerical simulation of multi-dimensional dynamic quantum model: application to decision-making ⋮ Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market ⋮ Chelyshkov least squares support vector regression for nonlinear stochastic differential equations by variable fractional Brownian motion

Uses Software

• Matlab

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