An RBF-FD method for pricing American options under jump-diffusion models
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Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
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- A primer on radial basis functions with applications to the geosciences
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
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- Adaptive residual subsampling methods for radial basis function interpolation and collocation problems
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- scientific article; zbMATH DE number 2152342 (Why is no real title available?)
- scientific article; zbMATH DE number 6136940 (Why is no real title available?)
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Cited in
(31)- A new method for evaluating options based on multiquadric RBF-FD method
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
- An efficient operator-splitting radial basis function-generated finite difference (RBF-FD) scheme for image noise removal based on nonlinear total variation models
- Pricing equity warrants in Merton jump-diffusion model with credit risk
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Simulating backward wave propagation in metamaterial with radial basis functions
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- Application of the local radial basis function-based finite difference method for pricing American options
- An RBF approach for oil futures pricing under the jump-diffusion model
- Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
- Numerical valuation of European and American options under Merton's model
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
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- Implicit-explicit method for pricing American options under Merton and Kou jump diffusion models
- Implicit-explicit high-order methods for pricing options under Merton's jump-diffusion models
- A radial basis function-Hermite finite difference method for the two-dimensional distributed-order time-fractional cable equation
- A local radial basis function-compact finite difference method for Sobolev equation arising from fluid dynamics
- Stability and error estimates of operator-splitting methods for pricing American option under regime-switching model with jumps
- An inverse problem for calibrating the volatility in time fractional jump-diffusion option pricing model
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