Sökning: id:"swepub:oai:DiVA.org:hh-40226" >
Meshfree methods in option pricing
-
- Belova, Anna (författare)
- Högskolan i Halmstad,Akademin för informationsteknologi
-
- Shmidt, Tamara (författare)
- Högskolan i Halmstad,Halmstad Embedded and Intelligent Systems Research (EIS)
-
- Ehrhardt, Matthias (författare)
- AMNA, Bergische Universität Wuppertal, Wuppertal, Germany
-
(creator_code:org_t)
- 2012
- Engelska.
- Relaterad länk:
-
https://ieeexplore.i...
-
visa fler...
-
https://urn.kb.se/re...
-
visa färre...
Abstract
Ämnesord
Stäng
- A meshfree approximation scheme based on the radial basis function (RBF) methods is presented for the numerical solution of the options pricing model. This work deals with the valuation of the European, Asian and American options. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation with respect to time. Next, the option price is approximated in space with RBF. In case of American options a penalty method is used, i.e. the free boundary is removed by adding a small and continuous penalty term to the Black-Scholes equation. Finally, we present a comparison of analytical and finite difference solutions and numerical results. © 2012 MANT.
Ämnesord
- NATURVETENSKAP -- Matematik -- Annan matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Other Mathematics (hsv//eng)
Nyckelord
- American options
- Approximation scheme
- Black Scholes equations
- Finite-difference solution
- Free boundary
- Mesh-free method
- Meshfree
- Numerical results
- Numerical solution
- Option price Option pricing
- Options pricing
- Penalty methods
- Penalty term
- Radial basis functions
- Image segmentation
- Partial differential equations
- Radial basis function networks
Publikations- och innehållstyp
- ref (ämneskategori)
- kon (ämneskategori)