A quasi-radial basis functions method for American options pricing.
type: Item
instance of: scholarly article
title: A quasi-radial basis functions method for American options pricing.
zbMATH Open document ID: 1073.91588
DOI: 10.1016/S0898-1221(01)00302-9
publication date: 2002-08-15T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M99
Mathematics Subject Classification ID: 65M20
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 1781518
zbMATH Keywords: radial basis functions
zbMATH Keywords: quasi-interpolation
zbMATH Keywords: American options
author: Y. C. Hon
MaRDI profile type: Publication
cites work: The pricing of options and corporate liabilities
cites work: Option pricing: A simplified approach
cites work: Some mathematical results in the pricing of American options
cites work: Penalty methods for American options with stochastic volatility
cites work: Q4218393
cites work: Circumventing the ill-conditioning problem with multiquadric radial basis functions: Applications to elliptic partial differential equations
cites work: Multizone decomposition for simulation of time-dependent problems using the multiquadratic scheme
cites work: Compactly supported positive definite radial functions
cites work: Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
cites work: Compactly supported radial basis functions for shallow water equations.
cites work: A quasi-interpolation method for solving stiff ordinary differential equations
cites work: Univariate multiquadric approximation: Quasi-interpolation to scattered data
cites work: Shape preserving properties and convergence of univariate multiquadric quasi-interpolation
cites work: Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
cites work: An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
cites work: Q3359644
cites work: The Mathematics of Financial Derivatives
full work available at URL: s0898-1221(01)00302-9
OpenAlex ID: W2068505839
published in: Computers & Mathematics with Applications
description: scientific article; zbMATH DE number 1781518