Radial basis functions with application to finance: American put option under jump diffusion
From MaRDI portal
Publication:1931063
DOI10.1016/j.mcm.2011.10.014zbMath1255.91427MaRDI QIDQ1931063
Ahmad Golbabai, Mariyan Milev, Davood Ahmadian
Publication date: 24 January 2013
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.mcm.2011.10.014
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
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Cites Work
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