Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform

被引：36
|
作者：
Larsson, Elisabeth [1 ]
Ahlander, Krister [1 ]
Hall, Andreas [1 ]
机构：
[1] Uppsala Univ, Dept Informat Technol, SE-75105 Uppsala, Sweden
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2008年 / 222卷 / 01期
基金：
瑞典研究理事会;
关键词：
Radial basis function; RBF; Generalized Fourier transform; GFT; Black-Scholes equation;
D O I：
10.1016/j.cam.2007.10.039
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We show that the generalized Fourier transform can be used for reducing the computational cost and memory requirements of radial basis function methods for multi-dimensional option pricing. We derive a general algorithm, including a transformation of the Black-Scholes equation into the heat equation, that can be used in any number of dimensions. Numerical experiments in two and three dimensions show that the gain is substantial even for small problem sizes. Furthermore, the gain increases with the number of dimensions. (C) 2007 Elsevier B.V. All rights reserved.
引用
收藏
页码：175 / 192
页数：18
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