Company Rossi, R.; Egorova, VN.; Jódar Sánchez, LA.; Soleymani, F. (2019). A stable local radial basis function method for option pricing problem under the Bates model. Numerical Methods for Partial Differential Equations. 35(3):1035-1055. https://doi.org/10.1002/num.22337
Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/148187
Title:
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A stable local radial basis function method for option pricing problem under the Bates model
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Author:
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Company Rossi, Rafael
Egorova, Vera N.
Jódar Sánchez, Lucas Antonio
Soleymani, Fazlollah
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UPV Unit:
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Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
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Issued date:
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Abstract:
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[EN] We propose a local mesh-free method for the Bates¿Scott
option pricing model, a 2D partial integro-differential
equation (PIDE) arising in computational finance. A Wendland
radial basis function (RBF) approach is used ...[+]
[EN] We propose a local mesh-free method for the Bates¿Scott
option pricing model, a 2D partial integro-differential
equation (PIDE) arising in computational finance. A Wendland
radial basis function (RBF) approach is used for the
discretization of the spatial variables along with a linear interpolation
technique for the integral operator. The resulting set
of ordinary differential equations (ODEs) is tackled via a
time integration method. A potential advantage of using RBFs
is the small number of discrete equations that need to be
solved. Computational experiments are presented to illustrate
the performance of the contributed approach.
[-]
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Subjects:
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Bates Scott model
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Option pricing
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Radial basis functions
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Stochastic volatility
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Wendland function
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Copyrigths:
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Reserva de todos los derechos
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Source:
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Numerical Methods for Partial Differential Equations. (issn:
0749-159X
)
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DOI:
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10.1002/num.22337
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Publisher:
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John Wiley & Sons
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Publisher version:
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https://doi.org/10.1002/num.22337
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Project ID:
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AEI/MTM2017-89664-P-AR
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Thanks:
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The authors (NS) acknowledges the support provided by the Secretaría de Estado de Investigación, Desarrollo e Innovación, MTM2017-89664-P.
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Type:
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Artículo
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