A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications

DOI10.1016/j.enganabound.2012.04.011zbMath1352.65385OpenAlexW2070015614MaRDI QIDQ2520233

Luca Vincenzo Ballestra, Graziella Pacelli

Publication date: 13 December 2016

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.enganabound.2012.04.011

zbMATH Keywords

RBFradial basis functionmeshless methodFokker-Planckfirst-passage probabilitytwo-dimensional jump-diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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