Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
نویسندگان
چکیده
منابع مشابه
Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
For the first time in mathematical finance field, we propose the local weak form meshless methods for option pricing; especially in this paper we select and analysis two schemes of them named local boundary integral equation method (LBIE) based on moving least squares approximation (MLS) and local radial point interpolation (LRPI) based on Wu’s compactly supported radial basis functions (WCS-RB...
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ژورنال
عنوان ژورنال: Communications in Nonlinear Science and Numerical Simulation
سال: 2015
ISSN: 1007-5704
DOI: 10.1016/j.cnsns.2014.07.015