A numerical study of Asian option with radial basis functions based finite differences method

被引：21
|
作者：
Kumar, Alpesh [1 ]
Tripathi, Lok Pati [1 ]
Kadalbajoo, Mohan K. [1 ]
机构：
[1] Indian Inst Technol, Dept Math & Stat, Kanpur 208016, Uttar Pradesh, India
来源：
ENGINEERING ANALYSIS WITH BOUNDARY ELEMENTS | 2015年 / 50卷
关键词：
Radial basis function; Finite difference; Black-Scholes equation; Asian option; SHAPE PARAMETER; AMERICAN OPTIONS; EQUATION; INTERPOLANTS; COMPUTATION; FORMULAS; VALUES; PDE;
D O I：
10.1016/j.enganabound.2014.07.003
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
The purpose of this paper is to design and describe the valuation of Asian option by radial basis function approximation. A one state variable partial differential equation which characterizes the price of European type Asian option is discussed. The governing equation is discretized by the theta-method and the option price is approximated by radial basis function based finite difference method. Numerical experiments are performed with European option and Asian option and results are compared with theoretical and numerical results available in the literature. We show numerically that the scheme is second order accurate. Stability of the scheme is also discussed. (C) 2014 Published by Elsevier Ltd.
引用
收藏
页码：1 / 7
页数：7
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