Valuation of Option Pricing with Meshless Radial Basis Functions Approximation
نویسندگان
چکیده
منابع مشابه
Option Pricing using Radial Basis Functions
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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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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ژورنال
عنوان ژورنال: Asian Journal of Advanced Research and Reports
سال: 2020
ISSN: 2582-3248
DOI: 10.9734/ajarr/2020/v10i130235