A new radial basis functions method for pricing American options under Merton's jump-diffusion model (Q4903542)
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scientific article; zbMATH DE number 6127880
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| English | A new radial basis functions method for pricing American options under Merton's jump-diffusion model |
scientific article; zbMATH DE number 6127880 |
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A new radial basis functions method for pricing American options under Merton's jump-diffusion model (English)
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22 January 2013
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Lévy processes
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jump-diffusion models
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American options
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radial basis
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differential quadrature
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exponential time integration
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0.8724676966667175
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0.8680407404899597
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0.8555958271026611
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0.8412470817565918
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0.8387646675109863
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