Pricing real estate index options by compactly supported radial-polynomial basis point interpolation

DOI10.1016/j.cam.2017.11.006zbMath1405.91695OpenAlexW2768673723MaRDI QIDQ679600

Jiayue Wang, Xubiao He

Publication date: 11 January 2018

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.2017.11.006

zbMATH Keywords

meshless methodCSRBFPBFreal estate index option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)

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High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility ⋮ A robust nonstandard finite difference scheme for pricing real estate index options

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