Research Article
A Radial Point Interpolation Method for Pricing Options on a Dividend Paying Asset
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International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
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| Volume 172 - Issue 7 |
| Published: Aug 2017 |
| Authors: Abdelmgid O. M. Sidahmed |
10.5120/ijca2017915180
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Abdelmgid O. M. Sidahmed . A Radial Point Interpolation Method for Pricing Options on a Dividend Paying Asset. International Journal of Computer Applications. 172, 7 (Aug 2017), 1-6. DOI=10.5120/ijca2017915180
@article{ 10.5120/ijca2017915180,
author = { Abdelmgid O. M. Sidahmed },
title = { A Radial Point Interpolation Method for Pricing Options on a Dividend Paying Asset },
journal = { International Journal of Computer Applications },
year = { 2017 },
volume = { 172 },
number = { 7 },
pages = { 1-6 },
doi = { 10.5120/ijca2017915180 },
publisher = { Foundation of Computer Science (FCS), NY, USA }
}
%0 Journal Article
%D 2017
%A Abdelmgid O. M. Sidahmed
%T A Radial Point Interpolation Method for Pricing Options on a Dividend Paying Asset%T
%J International Journal of Computer Applications
%V 172
%N 7
%P 1-6
%R 10.5120/ijca2017915180
%I Foundation of Computer Science (FCS), NY, USA
Abstract
We present the radial point interpolation method (RPIM) to solve problems for pricing American and European put options on a dividend paying asset. Using RPIM, we get a system of ordinary differential equations which is then solved by a time integration methods . To resolve the difficulties associated with solving the free boundary problem associated with American options, we use a penalty approach. Numerical experiments are presented which prove the computational efficiency of the RPIM.
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