A new radial basis functions method for pricing American options under Merton's jump-diffusion model (Q4903542): Difference between revisions

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scientific article; zbMATH DE number 6127880

Language	Label	Description	Also known as
English	A new radial basis functions method for pricing American options under Merton's jump-diffusion model	scientific article; zbMATH DE number 6127880

Statements

instance of

scholarly article

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title

A new radial basis functions method for pricing American options under Merton's jump-diffusion model (English)

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zbMATH Open document ID

1255.91409

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DOI

10.1080/00207160.2012.690034

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author

Aslam Aly El Faidal Saib

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Désiré Yannick Tangman

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Muddun Bhuruth

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published in

International Journal of Computer Mathematics

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publication date

22 January 2013

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Mathematics Subject Classification ID

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Lévy processes

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jump-diffusion models

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American options

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radial basis

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differential quadrature

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exponential time integration

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2012.690034

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OpenAlex ID

W2127041467

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cites work

Numerical valuation of options with jumps in the underlying

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

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Comparison of methods for evaluating functions of a matrix exponential

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Differential quadrature: A technique for the rapid solution of nonlinear partial differential equations

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The Pricing of Options and Corporate Liabilities

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Implicit-explicit numerical schemes for jump-diffusion processes

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Radial Basis Functions

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Financial Modelling with Jump Processes

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

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Robust numerical methods for contingent claims under jump diffusion processes

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A Fast Numerical Method for the Black--Scholes Equation of American Options

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A multiquadric interpolation method for solving initial value problems

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Operator splitting methods for American option pricing.

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Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates

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Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform

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A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

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Option pricing when underlying stock returns are discontinuous

0 references

Improved radial basis function methods for multi-dimensional option pricing

0 references

Exponential time integration for fast finite element solutions of some financial engineering problems

0 references

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

0 references

Adaptive radial basis function methods for time dependent partial differential equations

0 references

Exponential time integration and Chebychev discretisation schemes for fast pricing of options

0 references

A fast high-order finite difference algorithm for pricing American options

0 references

Numerical pricing of options using high-order compact finite difference schemes

0 references

Development of RBF-DQ method for derivative approximation and its application to simulate natural convection in concentric annuli

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4903542

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+W2127041467
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+Normal rank
@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
+Normal rank
@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
+Normal rank
@@ Property / cites work @@
+Comparison of methods for evaluating functions of a matrix exponential
+Normal rank
@@ Property / cites work @@
+Differential quadrature: A technique for the rapid solution of nonlinear partial differential equations
+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 @@
+Implicit-explicit numerical schemes for jump-diffusion processes
+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 Fast Numerical Method for the Black--Scholes Equation of American Options
+Normal rank
@@ Property / cites work @@
+A multiquadric interpolation method for solving initial value problems
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for American option pricing.
+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 @@
+Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
+Normal rank
@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Improved radial basis function methods for multi-dimensional option pricing
+Normal rank
@@ Property / cites work @@
+Exponential time integration for fast finite element solutions of some financial engineering problems
+Normal rank
@@ Property / cites work @@
+An iterative method for pricing American options under jump-diffusion models
+Normal rank
@@ Property / cites work @@
+Adaptive radial basis function methods for time dependent partial differential equations
+Normal rank
@@ Property / cites work @@
+Exponential time integration and Chebychev discretisation schemes for fast pricing of options
+Normal rank
@@ Property / cites work @@
+A fast high-order finite difference algorithm for pricing American options
+Normal rank
@@ Property / cites work @@
+Numerical pricing of options using high-order compact finite difference schemes
+Normal rank
@@ Property / cites work @@
+Development of RBF-DQ method for derivative approximation and its application to simulate natural convection in concentric annuli
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4903542