Abstract
The convergence error estimate in solving free boundary diffusion problem by radial basis functions (RBF) method was presented. The proposed RBF method provides a global interpolation formula for the solution as well as for the derivatives for the solution. It was found that the RBFs method provides a robust searching algorithm for the unknown optimal exercise boundary and a highly accurate approximation to the solution of the American option pricing model.
| Original language | English |
|---|---|
| Pages (from-to) | 73-79 |
| Journal | Engineering Analysis with Boundary Elements |
| Volume | 27 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Jan 2003 |
Research Keywords
- American options
- Diffusion
- Free boundary
- Meshless
- Radial basis functions
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