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March 21, 2017 | 1:00 p.m. - 2:00 p.m.
Category: Seminar
Location: Faculty/Administration #1146 | Map
656 W. Kirby
Detroit, MI 48202
Cost: Free

Speaker: Reza Mollapourasl, Wayne State University

Title: Local radial basis function method for pricing options with regime switching model

Abstract:  

This talk is devoted to develop an efficient meshfree method based on radial basis
functions (RBFs) to solve a system of partial differential equations (PDEs) arising from
pricing options under regime switching model. For global (RBF) methods, the major
disadvantages are the high computational cost and ill-conditioning associated with the
dense linear systems that arise. So, we employ one of the local meshfree methods known
as radial basis function based on finite difference (RBF-FD) method. By using operator
splitting method, sparse system of linear complementarity problem is solved very fast.
Also, convergence analysis of this method is discussed, and finally, some numerical examples
are presented to illustrate the robustness and practical performance of the proposed
algorithm for pricing European and American options in compare with other existing
methods.

For more information about this event, please contact Department of Mathematics at 3135772479 or eb1208@wayne.edu.