RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
type: Item
instance of: scholarly article
title: RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
zbMATH Open document ID: 1403.91353
author: Nawdha Thakoor
author: Désiré Yannick Tangman
author: Muddun Bhuruth
published in: Engineering Analysis with Boundary Elements
publication date: 2018-08-15T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 65M70
zbMATH DE Number: 6918083
zbMATH Keywords: localized radial basis functions
zbMATH Keywords: multiquadrics
zbMATH Keywords: stochastic volatility
zbMATH Keywords: constant elasticity of variance
zbMATH Keywords: American options
MaRDI profile type: Publication
full work available at URL: j.enganabound.2017.11.003
OpenAlex ID: W2770640374
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DOI: 10.1016/J.ENGANABOUND.2017.11.003
description: scientific article; zbMATH DE number 6918083