A quasi-radial basis functions method for American options pricing

A Quasi-radial Basis Functions Method for American Options Pricing

A Radial Basis Function Method for Solving Options Pricing Model

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. In the case of the European options, it is shown that the major numerical error is from the time integration instead of the spatial approximation by comparing with the analytical...

Pricing European and American options by radial basis point interpolation

We propose the use of the meshfree radial basis point interpolation (RBPI) to solve the Black–Scholes model for European and American options. The RBPI meshfree method offers several advantages over the more conventional radial basis function approximation, nevertheless it has never been applied to option pricing, at least to the very best of our knowledge. In this paper the RBPI is combined wi...

Radial basis function partition of unity operator splitting method for pricing multi-asset American options

The operator splitting method in combination with finite differences has been shown to be an efficient approach for pricing American options numerically. Here, the operator splitting formulation is extended to the radial basis function partition of unity method. An approach that has previously often been used together with radial basis function methods to deal with the free boundary arising in ...

A Comparison on Using Various Radial Basis Functions for Options Pricing