A greedy algorithm for partition of unity collocation method in pricing American options

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dc.contributor.authorFadaei, Yasin
dc.contributor.authorKhan, Zareen A.
dc.contributor.authorAkgul, Ali
dc.date.accessioned2024-12-24T19:24:13Z
dc.date.available2024-12-24T19:24:13Z
dc.date.issued2019
dc.departmentSiirt Üniversitesi
dc.description.abstractA 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.
dc.identifier.doi10.1002/mma.5757
dc.identifier.endpage5606
dc.identifier.issn0170-4214
dc.identifier.issn1099-1476
dc.identifier.issue16
dc.identifier.scopus2-s2.0-85074183310
dc.identifier.scopusqualityQ1
dc.identifier.startpage5595
dc.identifier.urihttps://doi.org/10.1002/mma.5757
dc.identifier.urihttps://hdl.handle.net/20.500.12604/5898
dc.identifier.volume42
dc.identifier.wosWOS:000478361000001
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherWiley
dc.relation.ispartofMathematical Methods in The Applied Sciences
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_20241222
dc.subjectAmerican option
dc.subjectgreedy algorithm
dc.subjectmeshless method
dc.subjectpartition of unity
dc.subjectradial basis function
dc.titleA greedy algorithm for partition of unity collocation method in pricing American options
dc.typeArticle

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