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

scientific article

Language	Label	Description	Also known as
English	Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions	scientific article

Statements

instance of

scholarly article

0 references

title

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

0 references

published in

Engineering Analysis with Boundary Elements

0 references

publication date

25 March 2013

0 references

author

Luca Vincenzo Ballestra

0 references

Graziella Pacelli

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

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

0 references

cites work

On first passage times of a hyper-exponential jump diffusion process

0 references

The parameter \(R^ 2\) in multiquadric interpolation

0 references

Exponential convergence andH-c multiquadric collocation method for partial differential equations

0 references

Multigrid for American option pricing with stochastic volatility

0 references

Numerical solution of two asset jump diffusion models for option valuation

0 references

First-crossing probabilities of the linear oscillator

0 references

A fast algorithm for computing integrals in function spaces: Financial applications

0 references

On choosing ``optimal'' shape parameters for RBF approximation

0 references

Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

0 references

Q4355440

0 references

On choosing a radial basis function and a shape parameter when solving a convective PDE on a sphere

0 references

Observations on the behavior of radial basis function approximations near boundaries

0 references

The Runge phenomenon and spatially variable shape parameters in RBF interpolation

0 references

Solving partial differential equations by collocation using radial basis functions

0 references

Convergence order estimates of meshless collocation methods using radial basis functions

0 references

Robust numerical methods for contingent claims under jump diffusion processes

0 references

First-passage failure of quasi-non-integrable-Hamiltonian systems

0 references

Options valuation by using radial basis function approximation

0 references

Theory and applications of the multiquadric-biharmonic method. 20 years of discovery 1968-1988

0 references

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Multiquadric method for the numerical solution of a biphasic mixture model

0 references

An efficient numerical scheme for Burger equation

0 references

A quasi-radial basis functions method for American options pricing.

0 references

Meshless collocation method by delta-shaped basis functions for default barrier model

0 references

Valuing credit derivatives in a jump-diffusion model

0 references

On the increasingly flat radial basis function and optimal shape parameter for the solution of elliptic PDEs

0 references

Error estimate, optimal shape factor, and high precision computation of multiquadric collocation method

0 references

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

0 references

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

0 references

A Jump-Diffusion Model for Option Pricing

0 references

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

0 references

A comparison of efficiency and error convergence of multiquadric collocation method and finite element method.

0 references

First passage time problem for a drifted Ornstein-Uhlenbeck process

0 references

On the use of boundary conditions for variational formulations arising in financial mathematics.

0 references

Option pricing when underlying stock returns are discontinuous

0 references

First passage time distribution in an oscillating field

0 references

Delayed-exponential approximation of a linear homogeneous diffusion model of neuron

0 references

Improved radial basis function methods for multi-dimensional option pricing

0 references

Fast convolution with radial kernels at nonequispaced knots

0 references

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

0 references

First-passage time for randomly excited non-linear oscillators

0 references

Identifiers

zbMATH Open document ID

1259.65157

0 references

DOI

10.1016/j.enganabound.2011.02.008

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1944574