Option Pricing using Radial Basis Functions
نویسندگان
چکیده
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 least an order of magnitude. We have also looked at how and where to implement boundary conditions in more than one dimension.
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تاریخ انتشار 2005