An RBF-FD method for pricing American options under jump-diffusion models (Q2203013): Difference between revisions
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| Property / DOI: 10.1016/j.camwa.2018.08.040 / rank | |||
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Latest revision as of 11:41, 17 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An RBF-FD method for pricing American options under jump-diffusion models |
scientific article |
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An RBF-FD method for pricing American options under jump-diffusion models (English)
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1 October 2020
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radial basis functions
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finite difference
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option pricing
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Merton's and Kou's models
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