Improved radial basis function methods for multi-dimensional option pricing
نویسندگان
چکیده
منابع مشابه
Radial Basis Function Methods for Pricing Multi-Asset Options
The price of an option can under some assumptions be determined by the solution of the Black–Scholes partial differential equation. Often options are issued on more than one asset. In this case it turns out that the option price is governed by the multi-dimensional version of the Black–Scholes equation. Options issued on a large number of underlying assets, such as index options, are of particu...
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We propose a method of function approximation by radial basis function networks. We will demonstrate that this approximation method can be improved by a pre-treatment of data based on a linear model. This approximation method will be applied to option pricing. This choice justifies itself through the known nonlinear nature of the behavior of options price and through the effective contribution ...
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In this paper, we have implemented a radial basis function (RBF) based method for solving the Black–Scholes partial differential equation. The application we have chosen is the valuation of European call options based on several underlying assets. We have shown that by appropriate choices of the RBF shape parameter and the node point placement, the accuracy of the results can be improved by at ...
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This paper will demonstrate how European and American option prices can be computed under the jump-diffusion model using the radial basis function (RBF) interpolation scheme. The RBF interpolation scheme is demonstrated by solving an option pricing formula, a one-dimensional partial integro-differential equation (PIDE). We select the cubic spline radial basis function and adopt a simple numeric...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2008
ISSN: 0377-0427
DOI: 10.1016/j.cam.2007.10.038