Improved radial basis function methods for multi-dimensional option pricing

DOI10.1016/j.cam.2007.10.038zbMath1151.91053OpenAlexW2104170326WikidataQ60511948 ScholiaQ60511948MaRDI QIDQ952081

Jonas Persson, Gunnar Marcusson, Ulrika Pettersson, Elisabeth Larsson

Publication date: 6 November 2008

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.2007.10.038

zbMATH Keywords

radial basis functionboundary conditionBlack-Scholes equationmulti-dimensional

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites Work

• The Pricing of Options and Corporate Liabilities
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