scholarly journals A numerical study of RBFs-DQ method for multi-asset option pricing problems

2018 ◽  
Vol 36 (1) ◽  
pp. 9
Author(s):  
Mojtaba Ranjbar ◽  
Leila Khodayari
Keyword(s):  
Numerical Study ◽  
Basis Functions ◽  
Weighted Sum ◽  
Physical Domain ◽  
Change Of Variables ◽  
Mesh Free ◽  
Black Scholes ◽  
Mixed Derivatives ◽  
Pricing Problems ◽  
Spatial Derivatives

In this paper, we propose a numerical scheme to solve multi-dimensional Black-Scholes equation using the global radial basis functions-based dierential quadrature (RBFs-DQ) method. Before applying the method, it is needed to remove mixed derivatives from the Black-Scholes equation by making an appropriate change of variables . Then, any spatial derivatives are approximated by a linear weighted sum of all the function values in the whole physical domain. In the RBFs-DQ method the weighting coecients are computed by RBFs. The method is very easy to implement and the non-singularity is ensured. The proposed method com bines the advantages of the conventional DQ method and the RBFs. It also remains mesh-free feature of RBFs.

scholarly journals Hermite Type Spline Spaces over Rectangular Meshes with Complex Topological Structures

2017 ◽  
Vol 21 (3) ◽  
pp. 835-866 ◽  
Author(s):  
Meng Wu ◽  
Bernard Mourrain ◽  
André Galligo ◽  
Boniface Nkonga
Keyword(s):  
Isogeometric Analysis ◽  
Convergence Rates ◽  
Approximation Order ◽  
Basis Functions ◽  
Physical Domain ◽  
Piecewise Polynomial ◽  
Numerical Convergence ◽  
Rectangular Mesh ◽  
Piecewise Polynomial Functions ◽  
Potential Applications

AbstractMotivated by the magneto hydrodynamic (MHD) simulation for Tokamaks with Isogeometric analysis, we present splines defined over a rectangular mesh with a complex topological structure, i.e., with extraordinary vertices. These splines are piecewise polynomial functions of bi-degree (d,d) and parameter continuity. And we compute their dimension and exhibit basis functions called Hermite bases for bicubic spline spaces. We investigate their potential applications for solving partial differential equations (PDEs) over a physical domain in the framework of Isogeometric analysis. For instance, we analyze the property of approximation of these spline spaces for the L2-norm; we show that the optimal approximation order and numerical convergence rates are reached by setting a proper parameterization, although the fact that the basis functions are singular at extraordinary vertices.

Solving PDEs with radial basis functions

Acta Numerica ◽  
2015 ◽  
Vol 24 ◽  
pp. 215-258 ◽  
Author(s):  
Bengt Fornberg ◽  
Natasha Flyer
Keyword(s):  
Radial Basis Functions ◽  
Finite Differences ◽  
Large Scale ◽  
Numerical Approach ◽  
Basis Functions ◽  
Integration Time ◽  
Small Scale ◽  
Major Step ◽  
Mesh Free ◽  
Radial Basis

Finite differences provided the first numerical approach that permitted large-scale simulations in many applications areas, such as geophysical fluid dynamics. As accuracy and integration time requirements gradually increased, the focus shifted from finite differences to a variety of different spectral methods. During the last few years, radial basis functions, in particular in their ‘local’ RBF-FD form, have taken the major step from being mostly a curiosity approach for small-scale PDE ‘toy problems’ to becoming a major contender also for very large simulations on advanced distributed memory computer systems. Being entirely mesh-free, RBF-FD discretizations are also particularly easy to implement, even when local refinements are needed. This article gives some background to this development, and highlights some recent results.

scholarly journals Hexagonal Grid Computation of the Derivatives of the Solution to the Heat Equation by Using Fourth-Order Accurate Two-Stage Implicit Methods

2021 ◽  
Vol 5 (4) ◽  
pp. 203
Author(s):  
Suzan Cival Buranay ◽  
Nouman Arshad ◽  
Ahmed Hersi Matan
Keyword(s):  
Heat Equation ◽  
Fourth Order ◽  
Boundary Value ◽  
Time Variable ◽  
Implicit Methods ◽  
First Order ◽  
Mixed Derivatives ◽  
Hexagonal Grids ◽  
Spatial Derivatives ◽  
Derivatives Of

We give fourth-order accurate implicit methods for the computation of the first-order spatial derivatives and second-order mixed derivatives involving the time derivative of the solution of first type boundary value problem of two dimensional heat equation. The methods are constructed based on two stages: At the first stage of the methods, the solution and its derivative with respect to time variable are approximated by using the implicit scheme in Buranay and Arshad in 2020. Therefore, Oh4+τ of convergence on constructed hexagonal grids is obtained that the step sizes in the space variables x1, x2 and in time variable are indicated by h, 32h and τ, respectively. Special difference boundary value problems on hexagonal grids are constructed at the second stages to approximate the first order spatial derivatives and the second order mixed derivatives of the solution. Further, Oh4+τ order of uniform convergence of these schemes are shown for r=ωτh2≥116,ω>0. Additionally, the methods are applied on two sample problems.

scholarly journals Accurate radial basis functions technique for competitive and efficient solutions of non-linear Black-Scholes equations

2020 ◽  
Vol 20 (4) ◽  
pp. 60-83
Author(s):  
Vinícius Magalhães Pinto Marques ◽  
Gisele Tessari Santos ◽  
Mauri Fortes
Keyword(s):  
Radial Basis Function ◽  
Basis Function ◽  
Efficient Solutions ◽  
Basis Functions ◽  
Adaptive Scheme ◽  
Call Options ◽  
Black Scholes ◽  
Non Linear ◽  
Radial Basis ◽  
Complex Models

ABSTRACTObjective: This article aims to solve the non-linear Black Scholes (BS) equation for European call options using Radial Basis Function (RBF) Multi-Quadratic (MQ) Method.Methodology / Approach: This work uses the MQ RBF method applied to the solution of two complex models of nonlinear BS equation for prices of European call options with modified volatility. Linear BS models are also solved to visualize the effects of modified volatility.  Additionally, an adaptive scheme is implemented in time based on the Runge-Kutta-Fehlberg (RKF) method.

Numerical Study of Wind Field Adjustment with Radial Basis Functions

2012 ◽  
pp. 371-378
Author(s):  
Rafael Reséndiz ◽  
L. Héctor Juárez ◽  
Pedro González-Casanova ◽  
Daniel A. Cervantes ◽  
Christian Gout
Keyword(s):  
Radial Basis Functions ◽  
Wind Field ◽  
Numerical Study ◽  
Basis Functions ◽  
Radial Basis

scholarly journals Numerical study of meshless radial basis functions in the lid driven cavity problem

2018 ◽  
Author(s):  
Eko Prasetya Budiana ◽  
Indarto Indarto ◽  
Deendarlianto Deendarlianto ◽  
Pranowo Pranowo
Keyword(s):  
Radial Basis Functions ◽  
Numerical Study ◽  
Basis Functions ◽  
Driven Cavity ◽  
Radial Basis

Mesh-Free Simulation of Transport Phenomena in Continuous Castings of Aluminium Alloys

2006 ◽  
Vol 508 ◽  
pp. 497-502
Author(s):  
Božidar Šarler ◽  
Robert Vertnik
Keyword(s):  
Heat Treatment ◽  
Aluminium Alloys ◽  
Numerical Scheme ◽  
Transport Phenomena ◽  
Basis Functions ◽  
Simplified Model ◽  
Mesh Free ◽  
Dc Casting ◽  
Spatial Discretisation ◽  
Volume Method

This paper introduces a general numerical scheme for solving convective-diffusive problems that appear in the solution of microscopic and macroscopic transport phenomena in continuous castings and the heat treatment of aluminium alloys. The numerical scheme is based on spatial discretisation that involves pointisation only. The solution is based on diffuse collocation with multi-quadric radial basis functions. The application of the method is demonstrated in a simplified model of a billet DC casting and verified by a comparison with the classical finite volume method.

scholarly journals Mesh Free Radial Point Interpolation Based Displacement Recovery Techniques for Elastic Finite Element Analysis

Mathematics ◽  
2021 ◽  
Vol 9 (16) ◽  
pp. 1900
Author(s):  
Mohd. Ahmed ◽  
Devinder Singh ◽  
Saeed AlQadhi ◽  
Majed A. Alrefae
Keyword(s):  
Finite Element ◽  
Error Recovery ◽  
Basis Functions ◽  
Least Square ◽  
Element Solution ◽  
Displacement Error ◽  
Mesh Free ◽  
Radial Point Interpolation ◽  
Point Interpolation ◽  
Recovery Technique

The study develops the displacement error recovery method in a mesh free environment for the finite element solution employing the radial point interpolation (RPI) technique. The RPI technique uses the radial basis functions (RBF), along with polynomials basis functions to interpolate the displacement fields in a node patch and recovers the error in displacement field. The global and local errors are quantified in both energy and L2 norms from the post-processed displacement field. The RPI technique considers multi-quadrics/gaussian/thin plate splint RBF in combination with linear basis function for displacement error recovery analysis. The elastic plate examples are analyzed to demonstrate the error convergence and effectivity of the RPI displacement recovery procedures employing mesh free and mesh dependent patches. The performance of a RPI-based error estimators is also compared with the mesh dependent least square based error estimator. The triangular and quadrilateral elements are used for the discretization of plates domains. It is verified that RBF with their shape parameters, choice of elements, and errors norms influence considerably on the RPI-based displacement error recovery of finite element solution. The numerical results show that the mesh free RPI-based displacement recovery technique is more effective and achieve target accuracy in adaptive analysis with the smaller number of elements as compared to mesh dependent RPI and mesh dependent least square. It is also concluded that proposed mesh free recovery technique may prove to be most suitable for error recovery and adaptive analysis of problems dealing with large domain changes and domain discontinuities.

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