A new radial basis functions method for pricing American options under Merton's jump-diffusion model (Q4903542)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A new radial basis functions method for pricing American options under Merton's jump-diffusion model |
scientific article; zbMATH DE number 6127880
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A new radial basis functions method for pricing American options under Merton's jump-diffusion model |
scientific article; zbMATH DE number 6127880 |
Statements
A new radial basis functions method for pricing American options under Merton's jump-diffusion model (English)
0 references
22 January 2013
0 references
Lévy processes
0 references
jump-diffusion models
0 references
American options
0 references
radial basis
0 references
differential quadrature
0 references
exponential time integration
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8724676966667175
0 references
0.8680407404899597
0 references
0.8555958271026611
0 references
0.8412470817565918
0 references
0.8387646675109863
0 references
