Numerical solution of Black-Scholes equation with radial basis functions
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Abstract (EN)
Solving the Black-Scholes equation using Radial Basis Functions (RBF) is an important method, especially for numerical solutions. RBFs are a powerful tool generally used in solving differential equations. Applying this method to the Black-Scholes equation provides faster and more accurate solutions. While solving the Black-Scholes equation using RBF, radial functions provide a faster and more efficient solution by taking advantage of the symmetric properties of the solution. This method offers a more flexible and more applicable approach for numerical solutions than analytical solutions. RBFs are an effective tool used to calculate option prices and derivatives, especially with high accuracy. This method can provide a powerful solution in both financial applications and numerical analysis.
Author
Buse Nisa Kuzu
Institution
How to Cite
Buse Nisa Kuzu (Master Thesis). Numerical solution of Black-Scholes equation with radial basis functions, 2024, Düzce University.
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