RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.cam.2018.01.002 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2782881869 / rank | |||
Normal rank | |||
Revision as of 19:14, 19 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
