A comparative analysis of local meshless formulation for multi-asset option models
type: Item
instance of: scholarly article
title: A comparative analysis of local meshless formulation for multi-asset option models
zbMATH Open document ID: 1403.91377
author: Imtiaz Ahmad
author: Siraj-ul-Islam
published in: Engineering Analysis with Boundary Elements
publication date: 2018-08-09T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6915213
zbMATH Keywords: radial basis functions
zbMATH Keywords: option pricing
zbMATH Keywords: Black-Scholes PDEs model
zbMATH Keywords: European put option
zbMATH Keywords: American put option
zbMATH Keywords: butterfly call option
zbMATH Keywords: digital call option
zbMATH Keywords: operator splitting technique
MaRDI profile type: Publication
full work available at URL: j.enganabound.2015.12.020
OpenAlex ID: W2254592078
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DOI: 10.1016/J.ENGANABOUND.2015.12.020
description: scientific article; zbMATH DE number 6915213