The Fractional Step Method versus the Radial Basis Functions for Option Pricing with Correlated Stochastic Processes
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- Reza Mollapourasl & Ali Fereshtian & Michèle Vanmaele, 2019. "Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 259-287, January.
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Keywords
partial differential equation; mixed derivatives; fractional step method; radial basis functions; exchange option;All these keywords.
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