Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574): Difference between revisions

@@ Property / author @@
+Luca Vincenzo Ballestra
@@ Property / author: Luca Vincenzo Ballestra / rank @@
+Normal rank
@@ Property / author @@
+Graziella Pacelli
@@ Property / author: Graziella Pacelli / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.enganabound.2011.02.008
+Normal rank
@@ Property / OpenAlex ID @@
+W2005590978
@@ Property / OpenAlex ID: W2005590978 / rank @@
+Normal rank
@@ Property / cites work @@
+On first passage times of a hyper-exponential jump diffusion process
+Normal rank
@@ Property / cites work @@
+The parameter \(R^ 2\) in multiquadric interpolation
+Normal rank
@@ Property / cites work @@
+Exponential convergence andH-c multiquadric collocation method for partial differential equations
+Normal rank
@@ Property / cites work @@
+Multigrid for American option pricing with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Numerical solution of two asset jump diffusion models for option valuation
+Normal rank
@@ Property / cites work @@
+First-crossing probabilities of the linear oscillator
+Normal rank
@@ Property / cites work @@
+A fast algorithm for computing integrals in function spaces: Financial applications
+Normal rank
@@ Property / cites work @@
+On choosing ``optimal'' shape parameters for RBF approximation
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+Q4355440
@@ Property / cites work: Q4355440 / rank @@
+Normal rank
@@ Property / cites work @@
+On choosing a radial basis function and a shape parameter when solving a convective PDE on a sphere
+Normal rank
@@ Property / cites work @@
+Observations on the behavior of radial basis function approximations near boundaries
+Normal rank
@@ Property / cites work @@
+The Runge phenomenon and spatially variable shape parameters in RBF interpolation
+Normal rank
@@ Property / cites work @@
+Solving partial differential equations by collocation using radial basis functions
+Normal rank
@@ Property / cites work @@
+Convergence order estimates of meshless collocation methods using radial basis functions
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+First-passage failure of quasi-non-integrable-Hamiltonian systems
+Normal rank
@@ Property / cites work @@
+Options valuation by using radial basis function approximation
+Normal rank
@@ Property / cites work @@
+Theory and applications of the multiquadric-biharmonic method. 20 years of discovery 1968-1988
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Multiquadric method for the numerical solution of a biphasic mixture model
+Normal rank
@@ Property / cites work @@
+An efficient numerical scheme for Burger equation
@@ Property / cites work: An efficient numerical scheme for Burger equation / rank @@
+Normal rank
@@ Property / cites work @@
+A quasi-radial basis functions method for American options pricing.
+Normal rank
@@ Property / cites work @@
+Meshless collocation method by delta-shaped basis functions for default barrier model
+Normal rank
@@ Property / cites work @@
+Valuing credit derivatives in a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+On the increasingly flat radial basis function and optimal shape parameter for the solution of elliptic PDEs
+Normal rank
@@ Property / cites work @@
+Error estimate, optimal shape factor, and high precision computation of multiquadric collocation method
+Normal rank
@@ Property / cites work @@
+On the parameter estimation for diffusion models of single neuron's activities. I: Application to spontaneous activities of mesencephalic reticular formation cells in sleep and waking states
+Normal rank
@@ Property / cites work @@
+Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
+Normal rank
@@ Property / cites work @@
+A comparison of efficiency and error convergence of multiquadric collocation method and finite element method.
+Normal rank
@@ Property / cites work @@
+First passage time problem for a drifted Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+On the use of boundary conditions for variational formulations arising in financial mathematics.
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+First passage time distribution in an oscillating field
+Normal rank
@@ Property / cites work @@
+Delayed-exponential approximation of a linear homogeneous diffusion model of neuron
+Normal rank
@@ Property / cites work @@
+Improved radial basis function methods for multi-dimensional option pricing
+Normal rank
@@ Property / cites work @@
+Fast convolution with radial kernels at nonequispaced knots
+Normal rank
@@ Property / cites work @@
+An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
+Normal rank
@@ Property / cites work @@
+First-passage time for randomly excited non-linear oscillators
+Normal rank