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Listar por palabra clave "Wendland function"

Mostrando ítems 1-2 de 2

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

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (Vilnius Gediminas Technical University, 2018)

[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 ...
A stable local radial basis function method for option pricing problem under the Bates model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (John Wiley & Sons, 2019-05)

[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 ...

Mostrando ítems 1-2 de 2