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

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
Set OpenAlex properties.
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some remarks on first passage of Lévy processes, the American put and pasting principles / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical valuation of options with jumps in the underlying / rank
 
Normal rank
Property / cites work
 
Property / cites work: Accurate Evaluation of European and American Options Under the CGMY Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: On American Options Under the Variance Gamma Process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lévy Processes and Stochastic Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4888858 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4331490 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Perpetual American Options Under Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spectral convergence of multiquadric interpolation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Radial Basis Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust numerical methods for contingent claims under jump diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A penalty method for American options with jump diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive residual subsampling methods for radial basis function interpolation and collocation problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3446085 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable Evaluation of Gaussian Radial Basis Function Interpolants / rank
 
Normal rank
Property / cites work
 
Property / cites work: On choosing ``optimal'' shape parameters for RBF approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable Computations with Gaussian Radial Basis Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stable computation of multiquadric interpolants for all values of the shape parameter / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computational methods for quantitative finance. Finite element methods for derivative pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4794126 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A First Course in the Numerical Analysis of Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fourier space time-stepping for option pricing with Lévy models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improved accuracy of multiquadric interpolation using variable shape parameters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast and accurate pricing of barrier options under Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Smooth-Fit Property in an Exponential Lévy Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform / rank
 
Normal rank
Property / cites work
 
Property / cites work: Early exercise boundary and option prices in Lévy driven models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Variance Gamma Process and Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing With V. G. Martingale Components<sup>1</sup> / rank
 
Normal rank
Property / cites work
 
Property / cites work: Miscellaneous error bounds for multiquadric and related interpolators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Wavelet Galerkin pricing of American options on Lévy driven assets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing when underlying stock returns are discontinuous / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3378055 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Improved radial basis function methods for multi-dimensional option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4226355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Error estimates and condition numbers for radial basis function interpolation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4486593 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vectorized adaptive quadrature in MATLAB / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic analysis of hedging errors in models with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Scattered Data Approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Analysis of American Option Pricing in a Jump-Diffusion Model / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/1350486x.2013.850902 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2092696486 / rank
 
Normal rank

Latest revision as of 10:53, 30 July 2024

scientific article; zbMATH DE number 6934893
Language Label Description Also known as
English
A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
scientific article; zbMATH DE number 6934893

    Statements

    A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models (English)
    0 references
    0 references
    0 references
    11 September 2018
    0 references
    option pricing in exponential Lévy models
    0 references
    CGMY-KoBoL and VG processes
    0 references
    partial integro-differential equations (PIDE)
    0 references
    radial basis function interpolation
    0 references
    multi-quadrics
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references