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)

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Cites Work

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