Mathematical Financial Modeling: A radial basis functions method for Financial Barrier Options
عنوان مقاله: Mathematical Financial Modeling: A radial basis functions method for Financial Barrier Options
شناسه ملی مقاله: ICIORS10_091
منتشر شده در دهمین کنفرانس بین المللی انجمن تحقیق در عملیات ایران در سال 1396
شناسه ملی مقاله: ICIORS10_091
منتشر شده در دهمین کنفرانس بین المللی انجمن تحقیق در عملیات ایران در سال 1396
مشخصات نویسندگان مقاله:
Jalil Rashidinia - Department t of Applied Mathematics, Iran University Science and Technology ,Narmak,Tehran,Iran
Mohammad Navaz Rasoulizadeh - Department t of Applied Mathematics, Iran University Science and Technology ,Narmak,Tehran,Iran
Omid Nikan - Department t of Applied Mathematics, Iran University Science and Technology ,Narmak,Tehran,Iran
خلاصه مقاله:
Jalil Rashidinia - Department t of Applied Mathematics, Iran University Science and Technology ,Narmak,Tehran,Iran
Mohammad Navaz Rasoulizadeh - Department t of Applied Mathematics, Iran University Science and Technology ,Narmak,Tehran,Iran
Omid Nikan - Department t of Applied Mathematics, Iran University Science and Technology ,Narmak,Tehran,Iran
In recent decades, the topics of Mathematical Finance(MF) has been widely used in universities around the world. Some part of discussion of Mathematical Finance consists of Stochastic Differential Equation(SDE), Partial Differential Equation(PDE), Economic and Numerical Analysis. In recent years, In our country, this subject has been studied in some universities. This thesis introduces a specific field of financial mathematics related to barrier options contracts. This note introduces the radial basis function (RBF) method as applied to the solution of the BS equation with non-linear boundary conditions, related to path-dependent barrier options. Cubic and Thin-Plate Spline (TPS) radial basis functions were employed and evaluated as to their effectiveness to solve Up-and-Out (UAO) and Down-and-Out (DAO) barrier problems. The numerical results, when compared against analytical solutions, allow affirming that the RBF method is very accurate and easy to be implemented.
کلمات کلیدی: financial engineering; radial basis functions; barrier options
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/766825/