Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574)

scientific article

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English	Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions	scientific article

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instance of

scholarly article

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title

Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (English)

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published in

Engineering Analysis with Boundary Elements

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publication date

25 March 2013

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author

Luca Vincenzo Ballestra

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Graziella Pacelli

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.enganabound.2011.02.008

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cites work

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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

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Q4355440

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Options valuation by using radial basis function approximation

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On the parameter estimation for diffusion models of single neuron's activities. I: Application to spontaneous activities of mesencephalic reticular formation cells in sleep and waking states

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Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates

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A Jump-Diffusion Model for Option Pricing

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Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform

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Option pricing when underlying stock returns are discontinuous

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An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation

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First-passage time for randomly excited non-linear oscillators

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Identifiers

zbMATH Open document ID

1259.65157

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Mathematics Subject Classification ID

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10.1016/J.ENGANABOUND.2011.02.008

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Sitelinks

Mathematics(1 entry)

mardi Publication:1944574