Bergische Universität Wuppertal
Fachbereich Mathematik und Naturwissenschaften
Angewandte Mathematik - Numerische Analysis


Meshfree Methods in Option Pricing

Masterarbeit Wirtschaftsmathematik

Master's Thesis in Financial Mathematics, Halmstad University, Sweden



We consider European call options based on several underlying assets. The number of assets then corresponds to the number of dimensions in the partial differential equation (PDE). "The curse of dimensionality" makes this task increasingly difficult in higher dimensions and it is necessary to find fast methods with very low memory requirements. Reduced Basis Function (RBF) approximation is a promising candidate method. With infinitely smooth RBFs the method can be spectrally accurate, meaning that the required number of node points for a certain desired accuracy is relatively small. The meshfree nature of the method makes it easy to use in higher dimensions and also allows for adaptive node placement.



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University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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