Inverse multi-quadric RBF for computing the weights of FD method: Application to American options
| Autor: | Fazlollah Soleymani, Mahdiar Barfeie, Farhad Khaksar Haghani |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Numerical Analysis
Quadric Applied Mathematics Finite difference Inverse 010103 numerical & computational mathematics Function (mathematics) 01 natural sciences 010101 applied mathematics symbols.namesake Radial function Modeling and Simulation Taylor series symbols Applied mathematics Radial basis function 0101 mathematics Second derivative Mathematics |
| Zdroj: | Communications in Nonlinear Science and Numerical Simulation. 64:74-88 |
| ISSN: | 1007-5704 |
| Popis: | In this paper, we derive new exact formulas for the weights of the first and second derivatives using the radial basis function (RBF) generated by finite difference (FD) method. The considered radial function is the inverse multi-quadric (IMQ) function. Using these formulas, we compute Taylor expansions for the errors and also to construct stable approximations for fast implementations. The application of the new formulas is given in the framework of an RBF-FD method for pricing American option which has no exact solution. The discussed results are corroborated by computational experiments. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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