Radial basis function approximation method for pricing of basket options under jump diffusion model
DOI10.1007/978-3-319-96415-7_7zbMATH Open1427.91298OpenAlexW2907106983MaRDI QIDQ2008659FDOQ2008659
Authors: Ali Safdari-Vaighani 
Publication date: 26 November 2019
Full work available at URL: https://doi.org/10.1007/978-3-319-96415-7_7
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Jump processes on discrete state spaces (60J74)
Cited In (5)
- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- Pricing basket option in a multi-dimensional jump-diffusion model
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- Title not available (Why is that?)
- Radial basis functions with application to finance: American put option under jump diffusion
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