Multiquadric Method for Solving Options Pricing Model
نویسنده
چکیده
This paper applies the global radial basis functions as a spatial collocation scheme for solving the Options Pricing model. Diierent numerical time integration schemes are employed for the time derivative of the model. It is shown that the major numerical error is from the time integration instead of the spatial approximation by comparing with the analytical solution. Since the basis functions are innnitely diierentiable, the numerical approximation of the derivatives of the options price can be computed directly without using extra interpolation techniques
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