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Your search keyword '"Belova, Anna"' showing total 11 results
Start Over Author "Belova, Anna" Publication Type Conference Materials
11 results on '"Belova, Anna"'

1. Tight Gas Reservoir Characterization and Comparison of PLT Methods: Micro-Seismic Monitoring, Fiber Optical Production Logging and Tracer Coated Sand Monitoring Applied in the Same Well

Author

Yao, Xiao, additional, Qinggao, Zeng, additional, Haibo, Deng, additional, Linke, Song, additional, Xinggang, Liu, additional, Haiyan, Heng, additional, Wenjing, Zhang, additional, Geng, Sun, additional, Guangyu, Wang, additional, Belova, Anna, additional, and Husein, Nadir, additional

Published
2023
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11. Meshfree methods in option pricing.

Author

Belova, Anna, Shmidt, Tamara, and Ehrhardt, Matthias

Abstract

A meshfree approximation scheme based on the radial basis function (RBF) methods is presented for the numerical solution of the options pricing model. This work deals with the valuation of the European, Asian and American options. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation with respect to time. Next, the option price is approximated in space with RBF. In case of American options a penalty method is used, i.e. the free boundary is removed by adding a small and continuous penalty term to the Black-Scholes equation. Finally, we present a comparison of analytical and finite difference solutions and numerical results. [ABSTRACT FROM PUBLISHER]

Published
2012

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