An efficient numerical method for pricing option under jump diffusion model (Q531075): Difference between revisions

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+Option pricing when underlying stock returns are discontinuous
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+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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+Pricing options under jump diffusion processes with fitted finite volume method
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+Contour integral method for European options with jumps
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+Robust spectral method for numerical valuation of european options under Merton's jump‐diffusion model
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+Robust numerical methods for contingent claims under jump diffusion processes
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+A new radial basis functions method for pricing American options under Merton's jump-diffusion model
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+Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
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+Some observations regarding interpolants in the limit of flat radial basis functions
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+Scattered node compact finite difference-type formulas generated from radial basis functions
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+Local RBF-FD solutions for steady convection–diffusion problems
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+Local radial basis function based gridfree scheme for unsteady incompressible viscous flows
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+Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
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+A numerical study of Asian option with radial basis functions based finite differences method
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+Spectral Methods
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+A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
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+Exponential time integration for fast finite element solutions of some financial engineering problems
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