A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models (Q4586030): Difference between revisions

@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
+Normal rank
@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
+Normal rank
@@ Property / cites work @@
+Accurate Evaluation of European and American Options Under the CGMY Process
+Normal rank
@@ Property / cites work @@
+On American Options Under the Variance Gamma Process
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Q4888858
@@ Property / cites work: Q4888858 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
+Normal rank
@@ Property / cites work @@
+Perpetual American Options Under Lévy Processes
@@ Property / cites work: Perpetual American Options Under Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral convergence of multiquadric interpolation
+Normal rank
@@ Property / cites work @@
+Radial Basis Functions
@@ Property / cites work: Radial Basis Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Adaptive residual subsampling methods for radial basis function interpolation and collocation problems
+Normal rank
@@ Property / cites work @@
+Q3446085
@@ Property / cites work: Q3446085 / rank @@
+Normal rank
@@ Property / cites work @@
+Stable Evaluation of Gaussian Radial Basis Function Interpolants
+Normal rank
@@ Property / cites work @@
+On choosing ``optimal'' shape parameters for RBF approximation
+Normal rank
@@ Property / cites work @@
+Stable Computations with Gaussian Radial Basis Functions
+Normal rank
@@ Property / cites work @@
+Stable computation of multiquadric interpolants for all values of the shape parameter
+Normal rank
@@ Property / cites work @@
+Computational methods for quantitative finance. Finite element methods for derivative pricing
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+A First Course in the Numerical Analysis of Differential Equations
+Normal rank
@@ Property / cites work @@
+Fourier space time-stepping for option pricing with Lévy models
+Normal rank
@@ Property / cites work @@
+Improved accuracy of multiquadric interpolation using variable shape parameters
+Normal rank
@@ Property / cites work @@
+Fast and accurate pricing of barrier options under Lévy processes
+Normal rank
@@ Property / cites work @@
+The Smooth-Fit Property in an Exponential Lévy Model
+Normal rank
@@ Property / cites work @@
+Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
+Normal rank
@@ Property / cites work @@
+Early exercise boundary and option prices in Lévy driven models
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option Pricing With V. G. Martingale Components<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Miscellaneous error bounds for multiquadric and related interpolators
+Normal rank
@@ Property / cites work @@
+Wavelet Galerkin pricing of American options on Lévy driven assets
+Normal rank
@@ Property / cites work @@
+Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Q3378055
@@ Property / cites work: Q3378055 / rank @@
+Normal rank
@@ Property / cites work @@
+Improved radial basis function methods for multi-dimensional option pricing
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Error estimates and condition numbers for radial basis function interpolation
+Normal rank
@@ Property / cites work @@
+Q4486593
@@ Property / cites work: Q4486593 / rank @@
+Normal rank
@@ Property / cites work @@
+Vectorized adaptive quadrature in MATLAB
@@ Property / cites work: Vectorized adaptive quadrature in MATLAB / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of hedging errors in models with jumps
+Normal rank
@@ Property / cites work @@
+Scattered Data Approximation
@@ Property / cites work: Scattered Data Approximation / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/1350486x.2013.850902
+Normal rank
@@ Property / OpenAlex ID @@
+W2092696486
@@ Property / OpenAlex ID: W2092696486 / rank @@
+Normal rank