Main Program of Chapters 1 - 4: RBF_OptionPricing.m (for details, please refer to Page 13 of the report, i.e. section 3.0 "Structure of Program")
Main Program of Chapter 5: Two_Dimensional_Case.m
Main Program of Chapter 6: Time_as_radius.m
Since the last decades of the 20th century, the radial basis functions (RBF) plays an important role in solving different types of PDEs with many advantages such as mesh-free-property, accuracy, stability and efficiency etc. There are three general areas of study for the RBF: Theory, Computation and Applications. Theory includes the concept of reproducing Hilbert spaces and positive definite kernels in functional analysis, as well as some other concepts in numerical and stochastic analysis. Computation concerns the selection of parameters, as well as construction of stable and efficient algorithms. Applications of the RBF include solving PBEs such as the notable Black Scholes Equation, Cauchy problems, and problems in engineering design etc.
