TY - GEN
T1 - Multivariate option pricing using quasi-interpolation based on radial basis functions
AU - Mei, Liquan
AU - Cheng, Peipei
PY - 2008
Y1 - 2008
N2 - Radial basis functions are well-known successful tools for interpolation and quasi-interpolation of the equal distance or scattered data in high dimensions. Furthermore, their truly mesh-free nature motivated researchers to use them to deal with partial differential equations(PDEs). With more than twenty-year development, radial basis functions have become a powerful and popular method in solving ordinary and partial differential equations now. In this paper, based on the idea of quasi-interpolation and radial basis functions approximation, a fast and accurate numerical method is developed for multi-dimensions Black-Scholes equation for valuation of european options prices on three underlying assets. The advantage of this method is that it does not require solving a resultant full matrix, therefore as indicated in the the numerical computation, this method is effective for option pricing problem.
AB - Radial basis functions are well-known successful tools for interpolation and quasi-interpolation of the equal distance or scattered data in high dimensions. Furthermore, their truly mesh-free nature motivated researchers to use them to deal with partial differential equations(PDEs). With more than twenty-year development, radial basis functions have become a powerful and popular method in solving ordinary and partial differential equations now. In this paper, based on the idea of quasi-interpolation and radial basis functions approximation, a fast and accurate numerical method is developed for multi-dimensions Black-Scholes equation for valuation of european options prices on three underlying assets. The advantage of this method is that it does not require solving a resultant full matrix, therefore as indicated in the the numerical computation, this method is effective for option pricing problem.
KW - DSMQ
KW - Options pricing
KW - Quasi-interpolation
KW - Radial basis functions
UR - https://www.scopus.com/pages/publications/56749184017
U2 - 10.1007/978-3-540-87442-3_77
DO - 10.1007/978-3-540-87442-3_77
M3 - 会议稿件
AN - SCOPUS:56749184017
SN - 3540874402
SN - 9783540874409
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 620
EP - 627
BT - Advanced Intelligent Computing Theories and Applications
T2 - 4th International Conference on Intelligent Computing, ICIC 2008
Y2 - 15 September 2008 through 18 September 2008
ER -