A new radial basis functions method for pricing American options under Merton's jump-diffusion model

DOI10.1080/00207160.2012.690034zbMath1255.91409OpenAlexW2127041467MaRDI QIDQ4903542

Muddun Bhuruth, Désiré Yannick Tangman, Aslam Aly El Faidal Saib

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.690034

zbMATH Keywords

Lévy processesAmerican optionsexponential time integrationdifferential quadraturejump-diffusion modelsradial basis

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (16)

A radial basis function based implicit-explicit method for option pricing under jump-diffusion models ⋮ RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility ⋮ A simple method for generalized sequential compound options pricing ⋮ A novel local meshless scheme based on the radial basis function for pricing multi-asset options ⋮ A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems ⋮ High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility ⋮ A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models ⋮ An ETD method for multi‐asset American option pricing under jump‐diffusion model ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ An RBF-FD method for pricing American options under jump-diffusion models ⋮ Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options ⋮ A new method for evaluating options based on multiquadric RBF-FD method ⋮ An efficient numerical method for pricing option under jump diffusion model ⋮ A meshless method for Asian style options pricing under the Merton jump-diffusion model ⋮ Pricing American options under jump-diffusion models using local weak form meshless techniques ⋮ Radial-basis-function-based finite difference operator splitting method for pricing American options

Cites Work

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