Adaptive radial basis functions for option pricing
In this thesis, we have developed meshless adaptive radial basis functions (RBFs) method for the pricing of financial contracts by solving the Black-Scholes partial differential equation (PDE). In the 1-D problem, we priced the financial contracts of a European call option, Greeks (Delta, Gamma and...
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University of Leicester
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.657582 |