RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 05:32, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RBF-PU method for pricing options under the jump-diffusion model with local volatility |
scientific article |
Statements
RBF-PU method for pricing options under the jump-diffusion model with local volatility (English)
0 references
4 May 2018
0 references
radial basis functions
0 references
partition of unity
0 references
option pricing
0 references
jump-diffusion
0 references
Merton and Kou models
0 references
