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Improved radial bas...
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Pettersson, UlrikaUppsala universitet,Avdelningen för teknisk databehandling,Numerisk analys,ndim
(author)
Improved radial basis function methods for multi-dimensional option pricing
Publisher, publication year, extent ...
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2006
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electronicrdacarrier
Numbers
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LIBRIS-ID:oai:DiVA.org:uu-80801
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https://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-80801URI
Supplementary language notes
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Language:English
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Summary in:English
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Subject category:vet swepub-contenttype
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Subject category:rap swepub-publicationtype
Series
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Technical report / Department of Information Technology, Uppsala University,1404-3203 ;2006-028
Notes
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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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Larsson, ElisabethUppsala universitet,Avdelningen för teknisk databehandling,Numerisk analys,ndim(Swepub:uu)ela24874
(author)
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Marcusson, Gunnar
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Persson, JonasUppsala universitet,Avdelningen för teknisk databehandling,Numerisk analys,ndim(Swepub:uu)joper677
(author)
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Uppsala universitetAvdelningen för teknisk databehandling
(creator_code:org_t)
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