Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
From MaRDI portal
Publication:524570
DOI10.1016/j.camwa.2013.06.002zbMath1360.91154OpenAlexW1993325370MaRDI QIDQ524570
Alpesh Kumar, Lok Pati Tripathi, Mohan K. Kadalbajoo
Publication date: 3 May 2017
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2013.06.002
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) 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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