Radial basis function methods in computational finance
نویسندگان
چکیده
Radial basis function (RBF) based approximation methods for numerical solution of partial differential equations are interesting due to their potentially spectral accuracy and due to being meshfree. This could be especially beneficial for high dimensional problems, where meshing is non-trivial. In this work, we present different RBF approaches and evaluate them on a multi-asset option pricing problem. The conclusion is that the properties of the problem need to be taken into account in the solution method in order to have an approach that is viable for higher dimensions. Furthermore, we suggest to use an RBF based partition of unity approach in order to introduce locality and reduce the computational cost.
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