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A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems
10 references·0 citing·39 second hop
A Local Radial Basis Function Method for High-Dimensional American Option Pricing Problems (2018)A Local Radial Basis Function Method for …Pricing American options under multi-state regime switching with an efficientL- stable method (2015)Pricing American options unde…BENCHOP – The BENCHmarking project in option pricing (2015)BENCHOP – The BENCHmarking pr…Radial basis functions with application to finance: American put option under jump diffusion (2011)Radial basis functions with a…PDE and Martingale Methods in Option Pricing (2011)PDE and Martingale Methods in…Pricing multi-asset options with sparse grids (2008)Pricing multi-asset options w…Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform (2007)Multi-dimensional option pric…Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems (2007)Efficient Hierarchical Approx…Negative coefficients in two-factor option pricing models (2003)Negative coefficients in two-…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Quantitative Methods in Derivatives Pricing (2002)Quantitative Methods in Deriv…On coordinate transformation and grid stretching for sparse grid pricing of basket options (2007)A highly parallel Black–Scholes solver based on adaptive sparse grids (2012)Hybrid parallel solutions of the Black-Scholes PDE with the truncated combination technique (2012)Option pricing under multifactor Black–Scholes model using orthogonal spline wavelets (2024)A Regime-Switching Model of Long-Term Stock Returns (2001)AMERICAN OPTIONS WITH REGIME SWITCHING (2002)Term Structure of Interest Rates with Regime Shifts (2002)A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models (2017)Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (2018)Solving complex PIDE systems for pricing American option under multi-state regime switching jump–diffusion model (2018)The Pricing of Options and Corporate Liabilities (1973)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Numerical methods for Lévy processes (2009)Analytical and Numerical Methods for Pricing Financial Derivatives (2011)The evaluation of American compound option prices under stochastic volatility and stochastic interest rates (2013)Option pricing when underlying stock returns are discontinuous (1976)Mathematical Models of Financial Derivatives (2008)A radial basis function based implicit–explicit method for option pricing under jump-diffusion models (2016)Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov–Galerkin method (2017)An RBF–FD method for pricing American options under jump–diffusion models (2018)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection (2014)Radial basis function partition of unity operator splitting method for pricing multi-asset American options (2016)Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach (2019)A new radial basis functions method for pricing American options under Merton's jump-diffusion model (2012)Tools for Computational Finance (2012)Analyzing Convertible Bonds (1980)Option pricing: Mathematical models and computation (1994)Pricing American Options Using LU Decomposition (2007)Pricing exotic options with L-stable Padé schemes (2007)Positive finite difference schemes for a partial integro-differential option pricing model (2014)Numerical Solution of Stochastic Differential Equations (2016)Explicit implied volatilities for multifactor local-stochastic volatility models (2017)Pricing climate-related risks in the bond market (2021)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)A mixed derivative terms removing method in multi-asset option pricing problems (2016)
this work references cited by second hop

References

  • 2003Monte Carlo Methods in Financial Engineering3,829 cited
  • 2011PDE and Martingale Methods in Option Pricing278 cited
  • 2007Efficient Hierarchical Approximation of High‐Dimensional Option Pricing Problems90 cited
  • 2015BENCHOP – The BENCHmarking project in option pricing64 cited
  • 2007Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform54 cited
  • 2011Radial basis functions with application to finance: American put option under jump diffusion50 cited
  • 2003Negative coefficients in two-factor option pricing models42 cited
  • 2008Pricing multi-asset options with sparse grids27 cited
  • 2015Pricing American options under multi-state regime switching with an efficientL- stable method26 cited
  • 2002Quantitative Methods in Derivatives Pricing19 cited

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