Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
نویسندگان
چکیده
منابع مشابه
Option Pricing using Radial Basis Functions
In this paper, we have implemented a radial basis function (RBF) based method for solving the Black–Scholes partial differential equation. The application we have chosen is the valuation of European call options based on several underlying assets. We have shown that by appropriate choices of the RBF shape parameter and the node point placement, the accuracy of the results can be improved by at ...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2008
ISSN: 0377-0427
DOI: 10.1016/j.cam.2007.10.039