Name
Abstract | ||
|---|---|---|
•Option prices are computed using the forward PDE for the probability density.•Special treatment of the Dirac initial condition makes the method competitive.•A highly accurate least squares radial basis function approximation method is used.•Multiple option prices can be computed at a low computational cost. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1016/j.jocs.2017.05.016 | Journal of Computational Science |
Keywords | Field | DocType |
65M70,91G60 | Mathematical optimization,Valuation of options,Finite difference methods for option pricing,Black–Scholes model,Initial value problem,Forward price,Option value,Partial differential equation,Mathematics,Stochastic game | Journal |
Volume | ISSN | Citations |
24 | 1877-7503 | 1 |
PageRank | References | Authors |
0.42 | 9 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| J. A. Rad | 1 | 57 | 7.51 |
| L. J. Höök | 2 | 16 | 2.37 |
| Elisabeth Larsson | 3 | 224 | 29.46 |
| Lina von Sydow | 4 | 83 | 9.82 |