Abstract
In this paper, a modification of the original global radial basis functions-based differential quadrature (RBF-DQ) method is set forth and analyzed. The improved RBF-DQ method is applicable to the numerical approximation of solutions of a wide range of partial differential equations with mixed derivative terms. However, it appears to be considerably faster than the original method. In support of this contention, the multi-asset option pricing problems under exponential Lévy framework have been solved numerically by using the proposed method and compared with results obtained via the original RBF-DQ method. For accuracy achieved versus work expended, the improved method performs better.
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Acknowledgments
Research of the authors was supported by Azarbaijan Shahid Madani University. The authors are grateful to the anonymous referee for a careful checking of the details and for helpful comments that improved this paper.
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Khodayari, L., Ranjbar, M. A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model. Comput Econ 50, 189–205 (2017). https://doi.org/10.1007/s10614-016-9605-0
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DOI: https://doi.org/10.1007/s10614-016-9605-0