Greeks computation in the option pricing problem by means of RBF-PU methods
type: Item
instance of: scholarly article
title: Greeks computation in the option pricing problem by means of RBF-PU methods
zbMATH Open document ID: 1437.91453
author: Salvatore Cuomo
author: Federica Sica
author: Gerardo Toraldo
published in: Journal of Computational and Applied Mathematics
publication date: 2020-04-15T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65D12
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7189452
zbMATH Keywords: option pricing
zbMATH Keywords: greeks computation
zbMATH Keywords: radial basis functions methods in finance
zbMATH Keywords: partition of unity
MaRDI profile type: Publication
full work available at URL: j.cam.2020.112882
OpenAlex ID: W3013792717
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DOI: 10.1016/J.CAM.2020.112882
description: scientific article; zbMATH DE number 7189452