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  • Pettersson, Ulrika, et al. (author)
  • Improved radial basis function methods for multi-dimensional option pricing
  • 2006
  • Reports (other academic/artistic)abstract
    • In this paper, we have derived a radial basis function (RBF) based method for the pricing of financial contracts by solving the Black-Scholes partial differential equation. As an example of a financial contract that can be priced with this method we have chosen the multi-dimensional European basket call option. We have shown numerically that our scheme is second order accurate in time and spectrally accurate in space for constant shape parameter. For other, non-optimal choices of shape parameter values, the resulting convergence rate is algebraic. We propose an adaptive node point placement that improves the accuracy compared with a uniform distribution. Compared with an adaptive finite difference method, the RBF method is 20-40 times faster in one and two space dimensions and has approximately the same memory requirements.
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  • Result 1-1 of 1
Type of publication
reports (1)
Type of content
other academic/artistic (1)
Author/Editor
Larsson, Elisabeth (1)
Persson, Jonas (1)
Pettersson, Ulrika (1)
Marcusson, Gunnar (1)
University
Uppsala University (1)
Language
English (1)
Research subject (UKÄ/SCB)
Natural sciences (1)
Year
2006 (1)

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