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Reseach Article

A Radial Point Interpolation Method for Pricing Options on a Dividend Paying Asset

by Abdelmgid O. M. Sidahmed
International Journal of Computer Applications
Foundation of Computer Science (FCS), NY, USA
Volume 172 - Number 7
Year of Publication: 2017
Authors: Abdelmgid O. M. Sidahmed
10.5120/ijca2017915180

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 },
issue_date = { Aug 2017 },
volume = { 172 },
number = { 7 },
month = { Aug },
year = { 2017 },
issn = { 0975-8887 },
pages = { 1-6 },
numpages = {9},
url = { https://ijcaonline.org/archives/volume172/number7/28260-2017915180/ },
doi = { 10.5120/ijca2017915180 },
publisher = {Foundation of Computer Science (FCS), NY, USA},
address = {New York, USA}
}
%0 Journal Article
%1 2024-02-07T00:19:40.899990+05:30
%A Abdelmgid O. M. Sidahmed
%T A Radial Point Interpolation Method for Pricing Options on a Dividend Paying Asset
%J International Journal of Computer Applications
%@ 0975-8887
%V 172
%N 7
%P 1-6
%D 2017
%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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Index Terms

Computer Science
Information Sciences

Keywords

European put options American put options dividend paying radial point interpolation method