Sökning: "Numerical methods for solving the Black-Scholes equation"

Hittade 1 uppsats innehållade orden Numerical methods for solving the Black-Scholes equation.

  1. 1. Evaluation of a least-squares radial basis function approximation method for solving the Black-Scholes equation for option pricing

    Master-uppsats, Institutionen för informationsteknologi

    Författare :Cong Wang; [2012]
    Nyckelord :RBF; radial basis function; ill-conditioning; shape parameter; Black-Scholes equation; option pricing;

    Sammanfattning : Radial basis function (RBF) approximation, is a new extremely powerful tool that is promising for high-dimensional problems, such as those arising from pricing of basket options using the Black-Scholes partial differential equation. The main problem for RBF methods have been ill-conditioning as the RBF shape parameter becomes small, corresponding to flat RBFs. LÄS MER