Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Journal of Economic Dynamics and Control 37 (2013) 6, pp. 1142-1167
An increasingly popular and promising approach to solve option pricing models is the use of numerical methods based on radial basis functions (RBF). These techniques yield high levels of accuracy, but have the drawback of requiring the inversion of large full system matrices. In the present...