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[01053] Radial Basis for Solving high-dimensional PDEs in Option Pricing

  • Session Time & Room : 1C (Aug.21, 13:20-15:00) @
  • Type : Contributed Talk
  • Abstract : A Radial Basis Function is used to solve the partial differential equations arising for option pricing problems in very high dimension. For such problems, classical grid-based finite-difference approaches fail to give any numerical solution as the memory requirements grow exponentially with the number of dimensions. Our numerical results are compared to both analytical solutions as well as Monte Carlo Simulations to demonstrate the efficiency of the proposed radial basis approximation.
  • Classification : 65D12, 35R10, 91G20
  • Author(s) :
    • Désiré Yannick TANGMAN (University of Mauritius)