Finite Differences Based on Radial Basis Functions to Price Options

In order to determine prices of pricing financial derivatives such as options, numerical methods must be developed continuously. The method must be very efficient since the option prices are computed in real time as the market condition changes. The assumption of Brownian motion of stock prices leads to a parabolic partial differential equation (PDE). In this project, we have developed finite differences based on radial bases functions, a combination of both radial basi