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A local radial basis function method for high-dimensional American option pricing problems

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A local radial basis function method for high-dimensional American option pricing problems

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Company Rossi, R.; Egorova, V.; Jódar Sánchez, LA.; Soleymani, F. (2018). A local radial basis function method for high-dimensional American option pricing problems. Mathematical Modelling and Analysis. 23(1):117-138. https://doi.org/10.3846/mma.2018.008

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/125214

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Title: A local radial basis function method for high-dimensional American option pricing problems
Author: Company Rossi, Rafael Egorova, Vera Jódar Sánchez, Lucas Antonio Soleymani, Fazlollah
UPV Unit: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Issued date:
Abstract:
[EN] In this work, we apply the local Wendland radial basis function (RBF) for solving the time-dependent multi dimensional option pricing nonlinear PDEs. Firstly, cross derivative terms of the PDE are removed with a ...[+]
Subjects: Radial basis functions , Cross derivative elimination , Wendland function , Multi-asset problem , American option pricing
Copyrigths: Reconocimiento (by)
Source:
Mathematical Modelling and Analysis. (issn: 1392-6292 )
DOI: 10.3846/mma.2018.008
Publisher:
Vilnius Gediminas Technical University
Publisher version: http://doi.org/10.3846/mma.2018.008
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617/EU
Thanks:
This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) ...[+]
Type: Artículo

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