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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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dc.contributor.author Company Rossi, Rafael es_ES
dc.contributor.author Egorova, Vera es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.contributor.author Soleymani, Fazlollah es_ES
dc.date.accessioned 2019-09-07T20:01:54Z
dc.date.available 2019-09-07T20:01:54Z
dc.date.issued 2018 es_ES
dc.identifier.issn 1392-6292 es_ES
dc.identifier.uri http://hdl.handle.net/10251/125214
dc.description.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 change of spatial variables based in LDLT factorization of the di usion matrix. Then, it is discussed that the valuation of a multi-asset option up to 4D can be computed using a modi fied shape parameter algorithm. In fact, several experiments containing of three and four assets are worked out showing that the results of the presented method are in good agreement with the literature and could be much more accurate once the shape parameter is chosen carefully. es_ES
dc.description.sponsorship 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) and the Ministerio de Economia y Competitividad Spanish grant MTM2013-41765-P. es_ES
dc.language Inglés es_ES
dc.publisher Vilnius Gediminas Technical University es_ES
dc.relation MINECO/MTM2013-41765-P es_ES
dc.relation.ispartof Mathematical Modelling and Analysis es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject Radial basis functions es_ES
dc.subject Cross derivative elimination es_ES
dc.subject Wendland function es_ES
dc.subject Multi-asset problem es_ES
dc.subject American option pricing es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title A local radial basis function method for high-dimensional American option pricing problems es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.3846/mma.2018.008 es_ES
dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/304617/EU es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.contributor.affiliation Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària es_ES
dc.description.bibliographicCitation 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 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://doi.org/10.3846/mma.2018.008 es_ES
dc.description.upvformatpinicio 117 es_ES
dc.description.upvformatpfin 138 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 23 es_ES
dc.description.issue 1 es_ES
dc.relation.pasarela S\353497 es_ES
dc.contributor.funder European Commission es_ES
dc.contributor.funder Ministerio de Economía, Industria y Competitividad es_ES


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