An RBF-FD method for pricing American options under jump-diffusion models (Q2203013)
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scientific article; zbMATH DE number 7254205
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| English | An RBF-FD method for pricing American options under jump-diffusion models |
scientific article; zbMATH DE number 7254205 |
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An RBF-FD method for pricing American options under jump-diffusion models (English)
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1 October 2020
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radial basis functions
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finite difference
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option pricing
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Merton's and Kou's models
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0.887195885181427
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0.8724676966667175
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0.8707674741744995
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0.8695909976959229
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