RBF-FD for option pricing problems
Dnr:
NAISS 2023/22-947
Type:
NAISS Small Compute
Principal Investigator:
Lina von Sydow
Affiliation:
Uppsala universitet
Start Date:
2023-09-18
End Date:
2024-10-01
Primary Classification:
10105: Computational Mathematics
Webpage:
Allocation
Abstract
In this project we will combine RBF-FD and FD in a hybrid setting to compute option prices in a fast and stable Manne.