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

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

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, i...

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Bibliographic Details
Main Authors: Rafael Company, Vera N. Egorova, Lucas Jodar, Fazlollah Soleymani
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2018-02-01
Series:Mathematical Modelling and Analysis
Subjects:
radial basis functions
cross derivative elimination
Wendland function
multi-asset problem
American option pricing
Online Access:https://journals.vgtu.lt/index.php/MMA/article/view/265

Internet

https://journals.vgtu.lt/index.php/MMA/article/view/265

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