Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A High Order Method for Pricing of Financial Derivatives using Radial
  Basis Function generated Finite Differences   In this paper, we consider the numerical pricing of financial derivatives
using Radial Basis Function generated Finite Differences in space. Such
discretization methods have the advantage of not requiring Cartesian grids.
Instead, the nodes can be placed with higher density in areas where there is a
need for higher accuracy. Still, the discretization matrix is fairly sparse. As
a model problem, we consider the pricing of European options in 2D. Since such
options have a discontinuity in the first derivative of the payoff function
which prohibits high order convergence, we smooth this function using an
established technique for Cartesian grids. Numerical experiments show that we
acquire a fourth order scheme in space, both for the uniform and the nonuniform
node layouts that we use. The high order method with the nonuniform node layout
achieves very high accuracy with relatively few nodes. This renders the
potential for solving pricing problems in higher spatial dimensions since the
computational memory and time demand become much smaller with this method
compared to standard techniques.

15
The categories of this paper are: nucl-ex
8
The categories of this paper are: hep-ex
19
The categories of this paper are: eess
28
The categories of this paper are: alg-geom
27
The categories of this paper are: comp-gas
3
The categories of this paper are: physics
35
The categories of this paper are: mtrl-th
24
The categories of this paper are: dg-ga
23
The categories of this paper are: solv-int
9
The categories of this paper are: nlin
14
The categories of this paper are: math-ph
7
The categories of this paper are: hep-th
32
The categories of this paper are: atom-ph
36
The categories of this paper are: cmp-lg
31
The categories of this paper are: ao-sci
26
The categories of this paper are: bayes-an