Radial basis functions method for valuing options: a multinomial tree approach

DOI10.1016/J.CAM.2016.12.036zbMath1358.91112OpenAlexW2576598174MaRDI QIDQ515756

Shengliang Zhang

Publication date: 16 March 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.2016.12.036

zbMATH Keywords

convergenceprobability distributionAmerican optionBlack-Scholesradial basis functions method

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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Related Items (4)

The numerical solution of fractional Black-Scholes-Schrödinger equation using the RBFs method ⋮ Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems ⋮ Unnamed Item ⋮ Unnamed Item

Uses Software

• Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• An iterative method for pricing American options under jump-diffusion models
• Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
• A numerical study of some radial basis function based solution methods for elliptic PDEs
• Penalty methods for the numerical solution of American multi-asset option problems
• Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
• A meshless symplectic algorithm for multi-variate Hamiltonian PDEs with radial basis approximation
• Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• Scattered Data Interpolation: Tests of Some Method
• Local error estimates for radial basis function interpolation of scattered data
• Exponential convergence andH-c multiquadric collocation method for partial differential equations
• The Mathematics of Financial Derivatives
• Option pricing: A simplified approach

This page was built for publication: Radial basis functions method for valuing options: a multinomial tree approach