RBF-PU method for pricing options under the jump-diffusion model with local volatility

DOI10.1016/j.cam.2018.01.002zbMath1457.65148OpenAlexW2782881869MaRDI QIDQ1747298

Reza Mollapourasl, Xun Lu, Ali Fereshtian, Hengguang Li

Publication date: 4 May 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.01.002

zbMATH Keywords

option pricingradial basis functionspartition of unityjump-diffusionMerton and Kou models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for sparse matrices (65F50) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Numerical radial basis function approximation (65D12)

Related Items (14)

Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ A condensed generalized finite element method (CGFEM) for interface problems ⋮ Condensed generalized finite element method ⋮ A meshfree radial basis function method for simulation of multi‐dimensional conservation problems ⋮ An efficient localized meshless collocation method for the two-dimensional Burgers-type equation arising in fluid turbulent flows ⋮ An RBF-FD method for pricing American options under jump-diffusion models ⋮ Simulating backward wave propagation in metamaterial with radial basis functions ⋮ Adaptive radial basis function partition of unity interpolation: a bivariate algorithm for unstructured data ⋮ Error indicators and refinement strategies for solving Poisson problems through a RBF partition of unity collocation scheme ⋮ An efficient localized meshless technique for approximating nonlinear sinh-Gordon equation arising in surface theory ⋮ Coupling of the Crank-Nicolson scheme and localized meshless technique for viscoelastic wave model in fluid flow ⋮ Numerical simulation of fractional evolution model arising in viscoelastic mechanics ⋮ A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method ⋮ Localized meshless approaches based on theta method and BDF2 for nonlinear Sobolev equation arising from fluid dynamics

Uses Software

• Matlab

Cites Work

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