Mathematics Colloquium

Wednesday, December 14

Time: 4:30 p.m. — 5:30 p.m.

Location: Science Center Room 108

Tags:  Arts and Sciences, Colloquia, Mathematics, Sciences

Cost:  Free

Speaker: Walaa Alharbi, University of Dayton 

Advisor: Muhammad Usman

Title: A numerical study of an option pricing model using Radial Basis Functions collocation method

Abstract: In this work we use the Radial Basis Functions (RBFs) collocation method to estimate the value of European call option. We use three type of RBFs, Gaussian (GA), Multiquadrics (MQ) and Inverse Multiquadrics (IMQ). The accuracy of RBFs collocation method depends upon the number of nodes and the value of the shape parameter c. Choosing the optimal value of the shape parameter is still an open problem. Many researchers proposed methods to find the optimal c. We run several numerical experiments in order to find the best value of the shape parameter that gives the better estimate for European call option.

The department colloquia are held every Thursday (excluding holidays) at 3:35 pm in room SC 323 unless otherwise noted. All are invited to attend. 

Contact Information:

Name:  Paul Eloe
Email:  peloe1@udayton.edu