Radial basis function partition of unity operator splitting method for pricing multi-asset American options

Author:

Shcherbakov Victor

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software

Reference21 articles.

1. Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81(3), 637–654 (1973). doi: 10.1086/260062

2. Cuthill, E., McKee, J.: Reducing the bandwidth of sparse symmetric matrices. In: Proceedings of the 24th ACM National Conference, pp. 157–172. ACM, New York (1969). doi: 10.1145/800195.805928

3. Fasshauer, G.E., Khaliq, A.Q.M., Voss, D.A.: Using mesh free approximation for multi-asset American option problems. J. Chin. Inst. Eng. 27(4), 563–571 (2004)

4. Fichera, G.: Sulle equazioni differenziali lineari ellittico-paraboliche del secondo ordine. Atti Accad. Naz. Lincei. Mem. Cl. Sci. Fis. Mat. Nat. Sez. I. VIII, Ser. 5, 3–30 (1956)

5. Golub, G.H., Van Loan, C.F.: Matrix computations. In: Johns Hopkins Studies in the Mathematical Sciences, 4th edn. Johns Hopkins University Press, Baltimore (2013)

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