The Fractional Step Method versus the Radial Basis Functions for Option Pricing with Correlated Stochastic Processes
In option pricing models with correlated stochastic processes, an option premium is commonly a solution to a partial differential equation (PDE) with mixed derivatives in more than two space dimensions. Alternating direction implicit (ADI) finite difference methods are popular for solving a PDE with...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-12-01
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| Series: | International Journal of Financial Studies |
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| Online Access: | https://www.mdpi.com/2227-7072/8/4/77 |