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- W984159983 abstract "In this paper we consider a meshfree radial basis function approach for the valuation of pricing options with non-smooth payoffs. By taking advantage of parallel architecture, a strongly stable and highly accurate time stepping method is developed with computational complexity comparable to the implicit Euler method implemented concurrently on each processor. This, in collusion with the radial basis function approach, provides an efficient and reliable valuation of exotic options, such as American digital options." @default.
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- W984159983 date "2007-09-01" @default.
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- W984159983 title "A parallel time stepping approach using meshfree approximations for pricing options with non-smooth payoffs" @default.
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- W984159983 doi "https://doi.org/10.21314/jor.2007.156" @default.
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