A greedy algorithm for partition of unity collocation method in pricing American options

DOI10.1002/MMA.5757zbMath1427.91296OpenAlexW2964644601MaRDI QIDQ5205142

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Publication date: 10 December 2019

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.5757

zbMATH Keywords

greedy algorithmradial basis functionmeshless methodpartition of unityAmerican option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Computational algorithm for financial mathematical model based on European option ⋮ On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs

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