Improved radial basis function methods for multi-dimensional option pricing

2008

109 citations recorded by the source corpus.

Subfields: Modeling and Simulation, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/6b70075c241ce5c67e2394295fdf34973b819af0

Citations in the corpus

• A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (2013, unknown): “[27] propose an improved RBF-based method for pricing European basket options which is second-order accurate in time and spectrally accurate in space.”