Radial basis functions with application to finance: American put option under jump diffusion
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Publication:1931063
DOI10.1016/j.mcm.2011.10.014zbMath1255.91427OpenAlexW2088394426MaRDI QIDQ1931063
Ahmad Golbabai, Mariyan Milev, Davood Ahmadian
Publication date: 24 January 2013
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.10.014
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Cites Work
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- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
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- Radial Basis Functions
- Robust numerical methods for contingent claims under jump diffusion processes
- Option pricing when underlying stock returns are discontinuous
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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