A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models (Q4586030): Difference between revisions
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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)
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11 September 2018
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option pricing in exponential Lévy models
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CGMY-KoBoL and VG processes
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partial integro-differential equations (PIDE)
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radial basis function interpolation
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multi-quadrics
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