Option pricing via radial basis functions : performance comparison with traditional numerical integration scheme and parameters choice for a reliable pricing
Pier Giuseppe Giribone, Simone Ligato
| Year of publication: |
2015
|
|---|---|
| Authors: | Giribone, Pier Giuseppe ; Ligato, Simone |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 2, p. 1-30
|
| Subject: | Radial basis functions | shape parameter calibration | meshless method in quantitative finance | certificate and option pricing | partial differential equation | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011333436