چكيده به لاتين
Abstract
The aim of this study was to evaluate the numerical methods in order to
pricing of a European Call option on two underlying assets described by the
Black–Scholes model and pricing of a European Call option by the Heston
model. Numerical Solution of these models was studied to pricing European
option under the improved radial basis functions using operator splitting
time discretization scheme. In this thesis, in addition to introducing the
above method, the Heston model was studied by finite difference and ADI
numerical methods. Finally, according to the results, an improved radial basis
function was better than finite difference method. This thesis is organized
based on the following paper:
L. V. Ballestra, and G. Pacelli. Pricing European and American options
with two stochastic factors: A highly efficient radial basis function approach.
Journal of Economic Dynamics Control, 37 (2013) 1142–1167
Keywords: Heston, Black-Scholes, European option, Operator Splitting
scheme, improved radial basis function
