Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7375593 | Physica A: Statistical Mechanics and its Applications | 2018 | 12 Pages |
Abstract
This study employs the meshfree radial basis point interpolation (RBPI) for pricing real estate derivatives contingent on real estate index. This method combines radial and polynomial basis functions, which can guarantee the interpolation scheme with Kronecker property and effectively improve accuracy. An exponential change of variables, a mesh refinement algorithm and the Richardson extrapolation are employed in this study to implement the RBPI. Numerical results are presented to examine the computational efficiency and accuracy of our method.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Pu Gong, Dong Zou, Jiayue Wang,