A greedy algorithm for partition of unity collocation method in pricing American options
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DOI: 10.1002/mma.5757
Abstract: A greedy algorithm in combination with radial basis functions partition of unity collocation (GRBF‐PUC) scheme is used as a locally meshless method for American option pricing. The radial basis function partition of unity method (RBF‐PUM)… read more here.
Keywords: greedy algorithm; pricing american; unity collocation; american options ... See more keywords