A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
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Publication:2291997
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Cites work
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- scientific article; zbMATH DE number 5586903 (Why is no real title available?)
- scientific article; zbMATH DE number 1849076 (Why is no real title available?)
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- Radial basis function generated finite differences for option pricing problems
- Revisiting generalized FEM: a Petrov-Galerkin enrichment based FEM interpolation for Helmholtz problem
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- The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing
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- Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Cited in
(5)- Multiscale modeling and analysis for some special additive noises driven stochastic partial differential equations
- A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
- Analysis of two-level mesh method for partial integro-differential equation
- Solving the Korteweg-de Vries equation with Hermite-based finite differences
- A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation
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