A computationally efficient numerical approach for multi-asset option pricing

DOI10.1080/00207160.2018.1458096zbMath1481.91221OpenAlexW2800295792MaRDI QIDQ5031852

Leila Khodayari, Mojtaba Ranjbar

Publication date: 16 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2018.1458096

zbMATH Keywords

finite differencesparsemesh-free methodmultiquadric radial basis functionsmulti-asset option pricing

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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical radial basis function approximation (65D12)

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Cites Work

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