Radial basis function partition of unity operator splitting method for pricing multi-asset American options
type: Item
instance of: scholarly article
title: Radial basis function partition of unity operator splitting method for pricing multi-asset American options
zbMATH Open document ID: 1354.91169
author: Victor Shcherbakov
published in: BIT
publication date: 2016-12-21T00:00:00Z
full work available at URL: http://urn.kb.se/resolve
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 6667569
zbMATH Keywords: American option
zbMATH Keywords: multi-asset option
zbMATH Keywords: Greeks
zbMATH Keywords: radial basis function
zbMATH Keywords: partition of unity
zbMATH Keywords: operator splitting method
zbMATH Keywords: penalty method
describes a project that uses: BENCHOP
MaRDI profile type: Publication
OpenAlex ID: W2313782254
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cites work: BENCHOP – The BENCHmarking project in option pricing
cites work: Piecewise polynomial, positive definite and compactly supported radial functions of minimal degree
DOI: 10.1007/S10543-016-0616-Y
description: scientific article; zbMATH DE number 6667569