A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (Q2520233): Difference between revisions

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English	A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications	scientific article

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scholarly article

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title

A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (English)

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published in

Engineering Analysis with Boundary Elements

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publication date

13 December 2016

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zbMATH Keywords

meshless method

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radial basis function

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RBF

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two-dimensional jump-diffusion

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Fokker-Planck

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first-passage probability

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author

Luca Vincenzo Ballestra

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Graziella Pacelli

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.enganabound.2012.04.011

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cites work

Q3096335

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Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions

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Mean first passage times of two-dimensional processes with jumps

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The parameter \(R^ 2\) in multiquadric interpolation

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Exponential convergence andH-c multiquadric collocation method for partial differential equations

0 references

Multigrid for American option pricing with stochastic volatility

0 references

Numerical solution of two asset jump diffusion models for option valuation

0 references

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

0 references

Robust numerical methods for contingent claims under jump diffusion processes

0 references

Adaptive residual subsampling methods for radial basis function interpolation and collocation problems

0 references

PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES

0 references

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

0 references

Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions

0 references

On choosing ``optimal'' shape parameters for RBF approximation

0 references

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

0 references

Q4355440

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Comparisons between pseudospectral and radial basis function derivative approximations

0 references

On choosing a radial basis function and a shape parameter when solving a convective PDE on a sphere

0 references

The Runge phenomenon and spatially variable shape parameters in RBF interpolation

0 references

Convergence order estimates of meshless collocation methods using radial basis functions

0 references

Solving partial differential equations by collocation using radial basis functions

0 references

Options valuation by using radial basis function approximation

0 references

Theory and applications of the multiquadric-biharmonic method. 20 years of discovery 1968-1988

0 references

A quasi-radial basis functions method for American options pricing.

0 references

Multiquadric method for the numerical solution of a biphasic mixture model

0 references

An efficient numerical scheme for Burger equation

0 references

Valuing credit derivatives in a jump-diffusion model

0 references

On the increasingly flat radial basis function and optimal shape parameter for the solution of elliptic PDEs

0 references

Error estimate, optimal shape factor, and high precision computation of multiquadric collocation method

0 references

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

0 references

Improved accuracy of multiquadric interpolation using variable shape parameters

0 references

Diffusion approximations for queues with server vacations

0 references

A Jump-Diffusion Model for Option Pricing

0 references

A numerical study of some radial basis function based solution methods for elliptic PDEs

0 references

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

0 references

Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model

0 references

A comparison of efficiency and error convergence of multiquadric collocation method and finite element method.

0 references

Q2763689

0 references

On the use of boundary conditions for variational formulations arising in financial mathematics.

0 references

Option pricing when underlying stock returns are discontinuous

0 references

Interpolation of scattered data: distance matrices and conditionally positive definite functions

0 references

Improved radial basis function methods for multi-dimensional option pricing

0 references

Q4942765

0 references

An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation

0 references

A random variable shape parameter strategy for radial basis function approximation methods

0 references

Differential quadrature method for pricing American options

0 references

First passage time for multivariate jump-diffusion processes in finance and other areas of applications

0 references

Identifiers

zbMATH Open document ID

1352.65385

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DOI

10.1016/j.enganabound.2012.04.011

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2520233

@@ Property / cites work @@
+Q3096335
@@ Property / cites work: Q3096335 / rank @@
+Normal rank
@@ Property / cites work @@
+Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
+Normal rank
@@ Property / cites work @@
+Mean first passage times of two-dimensional processes with jumps
+Normal rank
@@ Property / cites work @@
+The parameter \(R^ 2\) in multiquadric interpolation
+Normal rank
@@ Property / cites work @@
+Exponential convergence andH-c multiquadric collocation method for partial differential equations
+Normal rank
@@ Property / cites work @@
+Multigrid for American option pricing with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Numerical solution of two asset jump diffusion models for option valuation
+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 @@
+Adaptive residual subsampling methods for radial basis function interpolation and collocation problems
+Normal rank
@@ Property / cites work @@
+PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
+Normal rank
@@ Property / cites work @@
+On choosing ``optimal'' shape parameters for RBF approximation
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+Q4355440
@@ Property / cites work: Q4355440 / rank @@
+Normal rank
@@ Property / cites work @@
+Comparisons between pseudospectral and radial basis function derivative approximations
+Normal rank
@@ Property / cites work @@
+On choosing a radial basis function and a shape parameter when solving a convective PDE on a sphere
+Normal rank
@@ Property / cites work @@
+The Runge phenomenon and spatially variable shape parameters in RBF interpolation
+Normal rank
@@ Property / cites work @@
+Convergence order estimates of meshless collocation methods using radial basis functions
+Normal rank
@@ Property / cites work @@
+Solving partial differential equations by collocation using radial basis functions
+Normal rank
@@ Property / cites work @@
+Options valuation by using radial basis function approximation
+Normal rank
@@ Property / cites work @@
+Theory and applications of the multiquadric-biharmonic method. 20 years of discovery 1968-1988
+Normal rank
@@ Property / cites work @@
+A quasi-radial basis functions method for American options pricing.
+Normal rank
@@ Property / cites work @@
+Multiquadric method for the numerical solution of a biphasic mixture model
+Normal rank
@@ Property / cites work @@
+An efficient numerical scheme for Burger equation
@@ Property / cites work: An efficient numerical scheme for Burger equation / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing credit derivatives in a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+On the increasingly flat radial basis function and optimal shape parameter for the solution of elliptic PDEs
+Normal rank
@@ Property / cites work @@
+Error estimate, optimal shape factor, and high precision computation of multiquadric collocation method
+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 @@
+Improved accuracy of multiquadric interpolation using variable shape parameters
+Normal rank
@@ Property / cites work @@
+Diffusion approximations for queues with server vacations
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+A numerical study of some radial basis function based solution methods for elliptic PDEs
+Normal rank
@@ Property / cites work @@
+Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
+Normal rank
@@ Property / cites work @@
+Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
+Normal rank
@@ Property / cites work @@
+A comparison of efficiency and error convergence of multiquadric collocation method and finite element method.
+Normal rank
@@ Property / cites work @@
+Q2763689
@@ Property / cites work: Q2763689 / rank @@
+Normal rank
@@ Property / cites work @@
+On the use of boundary conditions for variational formulations arising in financial mathematics.
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Interpolation of scattered data: distance matrices and conditionally positive definite functions
+Normal rank
@@ Property / cites work @@
+Improved radial basis function methods for multi-dimensional option pricing
+Normal rank
@@ Property / cites work @@
+Q4942765
@@ Property / cites work: Q4942765 / rank @@
+Normal rank
@@ Property / cites work @@
+An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
+Normal rank
@@ Property / cites work @@
+A random variable shape parameter strategy for radial basis function approximation methods
+Normal rank
@@ Property / cites work @@
+Differential quadrature method for pricing American options
+Normal rank
@@ Property / cites work @@
+First passage time for multivariate jump-diffusion processes in finance and other areas of applications
+Normal rank