Pricing European and American options by radial basis point interpolation

作者：

Highlights：

• A RBPI method for pricing European and American options is proposed.

• RBPI has not yet been used for option pricing.

• The overall efficiency is improved by coupling RBPI with other approaches.

• Three different algorithms for American options are tested and compared.

• Numerical results demonstrate the effectiveness of the techniques employed.

摘要

•A RBPI method for pricing European and American options is proposed.•RBPI has not yet been used for option pricing.•The overall efficiency is improved by coupling RBPI with other approaches.•Three different algorithms for American options are tested and compared.•Numerical results demonstrate the effectiveness of the techniques employed.

论文关键词：Radial basis point interpolation,Meshfree method,Option pricing,Black–Scholes,Projected successive overrelaxation,Penalty method

论文评审过程：Available online 8 December 2014.

论文官网地址：https://doi.org/10.1016/j.amc.2014.11.016