A greedy algorithm for partition of unity collocation method in pricing American options
[ X ]
Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Wiley
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
A greedy algorithm in combination with radial basis functions partition of unity collocation (GRBF-PUC) scheme is used as a locally meshless method for American option pricing. The radial basis function partition of unity method (RBF-PUM) is a localization technique. Because of having interpolation matrices with large condition numbers, global approximants and some local ones suffer from instability. To overcome this, a greedy algorithm is added to RBF-PUM. The greedy algorithm furnishes a subset of best nodes among the points X. Such nodes are then used as points of trial in a locally supported RBF approximant for each partition. Using of greedy selected points leads to decreasing the condition number of interpolation matrices and reducing the burdensome in pricing American options.
Açıklama
Anahtar Kelimeler
American option, greedy algorithm, meshless method, partition of unity, radial basis function
Kaynak
Mathematical Methods in The Applied Sciences
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
42
Sayı
16
