Department of Information Technology

RBF-PUM for American options using a penalty approach

Contributed by Victor Shcherbakov and Elisabeth Larsson

Description

We implemented a radial basis function partition of unity method for pricing American call options using a penalty approach. The source code was used to perform numerical experiments for the paper Radial Basis Function Partition of Unity Methods for Pricing Vanilla Basket Options.

The source code can be found here:

Terms of use

These subroutines may be used freely without permission, but not for commercial purposes. When used for research publications, we kindly ask users to cite and acknowledge the source.

Updated  2017-02-05 16:51:04 by Kurt Otto.