On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (Q2204419)
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scientific article; zbMATH DE number 7261585
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| English | On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation |
scientific article; zbMATH DE number 7261585 |
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On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (English)
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15 October 2020
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multi-asset option pricing
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moving least-squares method
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jump-diffusion models
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partial integro-differential equations
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linear complementary problem
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meshfree methods
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0.7893378138542175
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0.7887757420539856
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0.7886455059051514
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0.781565248966217
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0.7597020268440247
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