Meshfree methods based on radial basis function (RBF) approximation are becoming widely
used for solving PDE problems. They are flexible with respect to the problem geometry and …

The objective of this research is to investigate the numerical solution of high-dimensional
Black–Scholes partial differential equations (PDEs). To do this, the weights of the radial …

The aim of this paper is to contribute a new second-order pseudo-spectral method via a non-
uniform distribution of the computational nodes for solving multi-asset option pricing …

The PROJ method for pricing European options on one underlying asset was proposed by J.
Lars Kirkby and then was applied to price Bermudan and Asian options. In this paper, we …

This chapter proposes a nonparametric estimator of the risk neutral density (RND) based on
cross-sectional European option prices. The authors recast the arbitrage-free equation for …

In this work, we apply the local Wendland radial basis function (RBF) for solving the time-
dependent multi dimensional option pricing nonlinear PDEs. Firstly, cross derivative terms of …

In this paper we evaluate mutually exclusive transmission projects under policy and
economic uncertainty. The alternatives being considered are transmission investment …

This paper studies the valuation of option pricing problem in the presence of several assets.
European-and American-style options are dealt with using high order semi-discretization …

The matter of the stability for multidimensional diffusion–advection–reaction problems
treated with the semi-discretization method is remaining challenge because when all the …

In this paper, a new model is proposed for pricing a European option using the binomial tree
method in conjunction with the Greek letters. In the proposed method, the covariance matrix …