@Article{JICS-16-091,
author = {Wang , Jialing and Qin , Yan},
title = {A Quasi-Radial Basis Function Method for European Option Pricing},
journal = {Journal of Information and Computing Science},
year = {2024},
volume = {16},
number = {2},
pages = {091--097},
abstract = {<p style="text-align: justify;">In this paper, we propose a meshless method for option pricing which uses the radial basis
quasi-interpolation method to solve the Black-Scholes equation. The quasi-interpolation operator is used to
force the first and second derivatives of stock prices in spatial direction and the forward difference method is
used in time direction. Its convergence of order $o (Δt+ h^{\frac{2}{3}})$ in $l_∞$−norm is also derived in the paper. The
advantage of this method is that it can fit the scattered data well, which makes it be a good approximation
method for the option prices that fluctuate randomly. The feasibility of the proposed method is verified by
numerical examples of uniform points and scattered points. The results show that this method has a good
fitting effect on option prices.</p>},
issn = {1746-7659},
doi = {https://doi.org/},
url = {http://global-sci.org/intro/article_detail/jics/22366.html}
}