The method of fundamental solutions for solving options pricing models

DOI10.1016/j.amc.2006.01.046zbMath1142.91568OpenAlexW2036638534MaRDI QIDQ945379

B. E. Eshmatov

Publication date: 12 September 2008

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.01.046

zbMATH Keywords

American optionsfree boundary conditionsmethod of fundamental solutionsartificial boundary conditionsBlack-Scholes equations

Mathematics Subject Classification ID

Related Items (4)

Numerical methods for backward Markov chain driven Black-Scholes option pricing ⋮ Three-dimensional image reconstruction using the PF/MFS technique ⋮ Combinations of the method of fundamental solutions for general inverse source identification problems ⋮ Localized method of fundamental solutions for solving two-dimensional Laplace and biharmonic equations

Cites Work

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• Density results using Stokeslets and a method of fundamental solutions for the Stokes equations
• On Random Correlation Matrices
• Fundamental Solutions Method for Elliptic Boundary Value Problems
• The Approximate Solution of Elliptic Boundary-Value Problems by Fundamental Solutions
• The method of fundamental solutions and quasi-Monte-Carlo method for diffusion equations
• The Mathematics of Financial Derivatives
• Option pricing: A simplified approach
• The method of functional equations for the approximate solution of certain boundary value problems

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