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An Efficient Meshfree Method for Option Pricing Problems
Conference proceeding   Peer reviewed

An Efficient Meshfree Method for Option Pricing Problems

Kailash C. Patidar and Abdelmgid O. M. Sidahmed
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS, VOLS I-III, Vol.1281(1), pp.1824-1827
AIP Conference Proceedings
01/01/2010
DOI: https://doi.org/10.1063/1.3498249

Abstract

Engineering Engineering, Multidisciplinary Mathematics Mathematics, Applied Physical Sciences Physics Physics, Applied Physics, Mathematical Physics, Multidisciplinary Science & Technology Technology
We develop efficient mesh free methods to solve European and American option pricing problems. Using radial basis functions, these methods leads to systems of difference equations which are solved by using a theta-method. Numerical results describing the payoff functions and option values are also presents.

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