کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098693 | 1376952 | 2013 | 64 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach
ترجمه فارسی عنوان
گزینه های اروپایی و آمریکایی قیمت گذاری با دو عامل تصادفی: یک روش کارآمد با شعاع بسیار کارآمد
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
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 paper, by combining Gaussian radial basis functions with a suitable operator splitting scheme, a new RBF method is developed in which the inversion of large system matrices is avoided. The method proposed is applied to five different problems which concern the pricing of European and American options under both the Black-Scholes and the Heston models. The results obtained reveal that the novel RBF scheme is accurate and fast, and performs fairly better than the finite difference approach. Finally, the RBF method proposed is very versatile, and, just like finite difference schemes, can be used to solve an infinite variety of models and problems, not only in the finance area but also in other fields of science and engineering.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 6, June 2013, Pages 1142-1167
Journal: Journal of Economic Dynamics and Control - Volume 37, Issue 6, June 2013, Pages 1142-1167
نویسندگان
Luca Vincenzo Ballestra, Graziella Pacelli,