Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach

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dc.authoridSoleymani, Fazlollah/0000-0002-6905-8951
dc.contributor.authorSoleymani, Fazlollah
dc.contributor.authorAkgul, Ali
dc.date.accessioned2024-12-24T19:25:24Z
dc.date.available2024-12-24T19:25:24Z
dc.date.issued2019
dc.departmentSiirt Üniversitesi
dc.description.abstractThe objective of this work is to present a novel procedure for tackling European multi-asset option problems, which are modeled mathematically in terms of time-dependent parabolic partial differential equations with variable coefficients. To use as low as possible of number computational grid points, a non-uniform grid is generated while a radial basis function-finite difference scheme with the Gaussian function is applied on such a grid to discretize the model as efficiently as possible. To reduce the burdensome for tackling the resulting set of ordinary differential equations, a Krylov method, which is due to the application of exponential matrix function on a vector, is taken into account. The combination of these techniques reduces the computational effort and the elapsed time. Several experiments are brought froward to illustrate the superiority of the new improved approach. In fact, the contributed procedure is capable to tackle even 6D PDEs on a normally-equipped computer quickly and efficiently. (C) 2019 Elsevier Ltd. All rights reserved.
dc.identifier.doi10.1016/j.chaos.2019.01.003
dc.identifier.endpage309
dc.identifier.issn0960-0779
dc.identifier.issn1873-2887
dc.identifier.scopus2-s2.0-85060312116
dc.identifier.scopusqualityQ1
dc.identifier.startpage298
dc.identifier.urihttps://doi.org/10.1016/j.chaos.2019.01.003
dc.identifier.urihttps://hdl.handle.net/20.500.12604/6400
dc.identifier.volume119
dc.identifier.wosWOS:000457316600035
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherPergamon-Elsevier Science Ltd
dc.relation.ispartofChaos Solitons & Fractals
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_20241222
dc.subjectRBF-FD method
dc.subjectGaussian RBF
dc.subjectOption pricing
dc.subjectExponential integrator
dc.subjectKrylov method
dc.titleImproved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach
dc.typeArticle

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