Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method

Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method

In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a wide range of partial differential equations (PDEs) with mixe...

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Main Authors: Leila Khodayari, M. Ranjbar
Format: บทความวารสาร
Language:English
Published: Science Faculty of Chiang Mai University 2019
Online Access:http://it.science.cmu.ac.th/ejournal/dl.php?journal_id=8499
http://cmuir.cmu.ac.th/jspui/handle/6653943832/63998
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-639982019-05-07T09:59:42Z Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method Leila Khodayari M. Ranjbar In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a wide range of partial differential equations (PDEs) with mixed derivative terms. However, it appears to be considerably faster than the original method. In support of this contention, the multi-dimensional Black-Scholes (BS) equation in the Geometric Brownian Motion (GBM) framework has been solved numerically by using the proposed method and compared with results obtained via the original RBF-DQ method. For accuracy achieved versus work expended, the improved method performs better. 2019-05-07T09:59:42Z 2019-05-07T09:59:42Z 2017 บทความวารสาร 0125-2526 http://it.science.cmu.ac.th/ejournal/dl.php?journal_id=8499 http://cmuir.cmu.ac.th/jspui/handle/6653943832/63998 Eng Science Faculty of Chiang Mai University
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
language English
description In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a wide range of partial differential equations (PDEs) with mixed derivative terms. However, it appears to be considerably faster than the original method. In support of this contention, the multi-dimensional Black-Scholes (BS) equation in the Geometric Brownian Motion (GBM) framework has been solved numerically by using the proposed method and compared with results obtained via the original RBF-DQ method. For accuracy achieved versus work expended, the improved method performs better.
format บทความวารสาร
author Leila Khodayari
M. Ranjbar
spellingShingle Leila Khodayari
M. Ranjbar
Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method
author_facet Leila Khodayari
M. Ranjbar
author_sort Leila Khodayari
title Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method
title_short Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method
title_full Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method
title_fullStr Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method
title_full_unstemmed Numerical Solution of Multi-Asset Option Pricing Problems Using an Improved RBF-DQ Method
title_sort numerical solution of multi-asset option pricing problems using an improved rbf-dq method
publisher Science Faculty of Chiang Mai University
publishDate 2019
url http://it.science.cmu.ac.th/ejournal/dl.php?journal_id=8499
http://cmuir.cmu.ac.th/jspui/handle/6653943832/63998
_version_ 1681425999592423424

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