Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310): Difference between revisions

Latest revision as of 12:07, 13 July 2024

scientific article

Language	Label	Description	Also known as
English	Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method	scientific article

Statements

instance of

scholarly article

0 references

title

Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (English)

0 references

0 references

0 references

Applied Numerical Mathematics

0 references

publication date

24 February 2017

0 references

full work available at URL

https://arxiv.org/abs/1412.6064

0 references

zbMATH Keywords

stochastic volatility

0 references

American option

0 references

Merton jump diffusion

0 references

meshless weak form

0 references

Wendland functions

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Comparison of meshless local weak and strong forms based on particular solutions for a non-classical 2-D diffusion model

0 references

MLPG method for two-dimensional diffusion equation with Neumann's and non-classical boundary conditions

0 references

Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing

0 references

A meshless method for solving nonlinear two-dimensional integral equations of the second kind on non-rectangular domains using radial basis functions with error analysis

0 references

A meshless discrete Galerkin (MDG) method for the numerical solution of integral equations with logarithmic kernels

0 references

Q4531521

0 references

A new meshless local Petrov-Galerkin (MLPG) approach in computational mechanics

0 references

Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions

0 references

A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications

0 references

Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach

0 references

The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach

0 references

The Pricing of Options and Corporate Liabilities

0 references

Radial Basis Functions

0 references

The parameter \(R^ 2\) in multiquadric interpolation

0 references

Exponential convergence andH-c multiquadric collocation method for partial differential equations

0 references

THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES

0 references

Multigrid for American option pricing with stochastic volatility

0 references

A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

0 references

Combination of meshless local weak and strong (MLWS) forms to solve the two-dimensional hyperbolic telegraph equation

0 references

The meshless local Petrov-Galerkin (MLPG) method for the generalized two-dimensional nonlinear Schrödinger equation

0 references

Meshless local Petrov-Galerkin (MLPG) method for the unsteady magnetohydrodynamic (MHD) flow through pipe with arbitrary wall conductivity

0 references

Transform Analysis and Asset Pricing for Affine Jump-diffusions

0 references

On choosing ``optimal'' shape parameters for RBF approximation

0 references

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

0 references

Radial basis functions with application to finance: American put option under jump diffusion

0 references

Q3359644

0 references

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Efficient numerical methods for pricing American options under stochastic volatility

0 references

Operator splitting methods for pricing American options under stochastic volatility

0 references

Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility

0 references

A Jump-Diffusion Model for Option Pricing

0 references

A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models

0 references

A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models

0 references

On the use of boundary conditions for variational formulations arising in financial mathematics.

0 references

Option pricing when underlying stock returns are discontinuous

0 references

A robust spectral method for solving Heston's model

0 references

On multigrid for linear complementarity problems with application to American-style options

0 references

Numerical solution of nonlinear Volterra-Fredholm-Hammerstein integral equations via collocation method based on radial basis functions

0 references

Pricing American options using a space-time adaptive finite difference method

0 references

A numerical solution of the nonlinear controlled Duffing oscillator by radial basis functions

0 references

Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options

0 references

Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method

0 references

Pricing European and American options by radial basis point interpolation

0 references

An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation

0 references

An iterative method for pricing American options under jump-diffusion models

0 references

An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps

0 references

Meshless simulations of the two-dimensional fractional-time convection-diffusion-reaction equations

0 references

A Componentwise Splitting Method for Pricing American Options Under the Bates Model

0 references

Scattered Data Approximation

0 references

Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.

0 references

An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs

0 references

A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility

0 references

Penalty methods for American options with stochastic volatility

0 references

Identifiers

zbMATH Open document ID

1406.91483

0 references

DOI

10.1016/j.apnum.2017.01.015

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:512310

@@ Property / OpenAlex ID @@
+W2964266327
@@ Property / OpenAlex ID: W2964266327 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.6064
@@ Property / arXiv ID: 1412.6064 / rank @@
+Normal rank
@@ Property / cites work @@
+Comparison of meshless local weak and strong forms based on particular solutions for a non-classical 2-D diffusion model
+Normal rank
@@ Property / cites work @@
+MLPG method for two-dimensional diffusion equation with Neumann's and non-classical boundary conditions
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+A meshless method for solving nonlinear two-dimensional integral equations of the second kind on non-rectangular domains using radial basis functions with error analysis
+Normal rank
@@ Property / cites work @@
+A meshless discrete Galerkin (MDG) method for the numerical solution of integral equations with logarithmic kernels
+Normal rank
@@ Property / cites work @@
+Q4531521
@@ Property / cites work: Q4531521 / rank @@
+Normal rank
@@ Property / cites work @@
+A new meshless local Petrov-Galerkin (MLPG) approach in computational mechanics
+Normal rank
@@ Property / cites work @@
+Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
+Normal rank
@@ Property / cites work @@
+A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
+Normal rank
@@ Property / cites work @@
+Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
+Normal rank
@@ Property / cites work @@
+The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Radial Basis Functions
@@ Property / cites work: Radial Basis Functions / rank @@
+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 @@
+THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
+Normal rank
@@ Property / cites work @@
+Multigrid for American option pricing with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Combination of meshless local weak and strong (MLWS) forms to solve the two-dimensional hyperbolic telegraph equation
+Normal rank
@@ Property / cites work @@
+The meshless local Petrov-Galerkin (MLPG) method for the generalized two-dimensional nonlinear Schrödinger equation
+Normal rank
@@ Property / cites work @@
+Meshless local Petrov-Galerkin (MLPG) method for the unsteady magnetohydrodynamic (MHD) flow through pipe with arbitrary wall conductivity
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+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 @@
+Radial basis functions with application to finance: American put option under jump diffusion
+Normal rank
@@ Property / cites work @@
+Q3359644
@@ Property / cites work: Q3359644 / rank @@
+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 @@
+Efficient numerical methods for pricing American options under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for pricing American options under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility
+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 @@
+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
+Normal rank
@@ Property / cites work @@
+A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models
+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 @@
+A robust spectral method for solving Heston's model
+Normal rank
@@ Property / cites work @@
+On multigrid for linear complementarity problems with application to American-style options
+Normal rank
@@ Property / cites work @@
+Numerical solution of nonlinear Volterra-Fredholm-Hammerstein integral equations via collocation method based on radial basis functions
+Normal rank
@@ Property / cites work @@
+Pricing American options using a space-time adaptive finite difference method
+Normal rank
@@ Property / cites work @@
+A numerical solution of the nonlinear controlled Duffing oscillator by radial basis functions
+Normal rank
@@ Property / cites work @@
+Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
+Normal rank
@@ Property / cites work @@
+Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
+Normal rank
@@ Property / cites work @@
+Pricing European and American options by radial basis point interpolation
+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 @@
+An iterative method for pricing American options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
+Normal rank
@@ Property / cites work @@
+Meshless simulations of the two-dimensional fractional-time convection-diffusion-reaction equations
+Normal rank
@@ Property / cites work @@
+A Componentwise Splitting Method for Pricing American Options Under the Bates Model
+Normal rank
@@ Property / cites work @@
+Scattered Data Approximation
@@ Property / cites work: Scattered Data Approximation / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence error estimate in solving free boundary diffusion problem by radial basis functions method.
+Normal rank
@@ Property / cites work @@
+An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
+Normal rank
@@ Property / cites work @@
+A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank