SUPR
RBF-FD for option pricing problems
Dnr:

NAISS 2024/22-1347

Type:

NAISS Small Compute

Principal Investigator:

Lina von Sydow

Affiliation:

Uppsala universitet

Start Date:

2024-11-01

End Date:

2025-11-01

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.