Search for dissertations about: "Radial Basis Function generated Finite Difference Methods for Pricing of Financial Derivatives"

Found 1 swedish dissertation containing the words Radial Basis Function generated Finite Difference Methods for Pricing of Financial Derivatives.

2. 1. Radial Basis Function generated Finite Difference Methods for Pricing of Financial Derivatives

   Author : Slobodan Milovanović; Lina von Sydow; Bertram Düring; Uppsala universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Radial basis function; Finite difference; Computational finance; Pricing of financial derivatives; Option pricing; Partial differential equation; Beräkningsvetenskap med inriktning mot numerisk analys; Scientific Computing with specialization in Numerical Analysis;

   Abstract : The purpose of this thesis is to present state of the art in radial basis function generated finite difference (RBF-FD) methods for pricing of financial derivatives. This work provides a detailed overview of RBF-FD properties and challenges that arise when the RBF-FD methods are used in financial applications. READ MORE