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  • Search: isPartOf:"ICMA Centre Discussion Papers in Finance DP2009-07"
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Option pricing theory 1 Optionspreistheorie 1
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English 1
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Hanert, Emmanuel 1 Venkatramanan, Aanand 1
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ICMA Centre Discussion Papers in Finance DP2009-07 1
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Meshfree Approximation for Multi-Asset Options
Hanert, Emmanuel - 2009
We price multi-asset options by solving their price partial differential equations using a meshfree approach with radial basis functions under jump-diffusion and geometric Brownian motion frameworks. In the geometric Brownian motion framework, we propose an effective technique that breaks the...
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