Radial basis function partition of unity operator splitting method for pricing multi-asset American options

DOI10.1007/s10543-016-0616-yzbMath1354.91169OpenAlexW2313782254MaRDI QIDQ727900

Victor Shcherbakov

Publication date: 21 December 2016

Published in: BIT (Search for Journal in Brave)

Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-284299

zbMATH Keywords

radial basis functionpenalty methodpartition of unityAmerican optionmulti-asset optionoperator splitting methodGreeks

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) 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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Uses Software

• BENCHOP

Cites Work

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