S. Vahdati1, D. Mirzaei2
CMES-Computer Modeling in Engineering & Sciences, Vol.109-110, No.3, pp. 247-262, 2015, DOI:10.3970/cmes.2015.109.247
Abstract In this paper we present a meshless collocation method based on the moving least squares (MLS) approximation for numerical solution of the multiasset (d-dimensional) American option in financial mathematics. This problem is modeled by the Black-Scholes equation with moving boundary conditions. A penalty approach is applied to convert the original problem to one in a fixed domain. In finite parts, boundary conditions satisfy in associated (d-1)-dimensional Black-Scholes equations while in infinity they approach to zero. All equations are treated by the proposed meshless approximation method where the method of lines is employed for handling the More >
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