A meshless method for Asian style options pricing under the Merton jump-diffusion model
DOI10.1080/00207160.2015.1061125zbMATH Open1386.91167OpenAlexW1820400330MaRDI QIDQ2804502FDOQ2804502
Authors: A. A. E. F. Saib, Muddun Bhuruth, M. S. Sunhaloo 
Publication date: 29 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2015.1061125
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differential quadraturejump-diffusion modelsstrang splittingAsian optionsexponential time integrationradial basisLévy processes
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Cites Work
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Cited In (8)
- Efficient willow tree method for Asian option pricing under Merton jump-diffusion model
- Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- Meshless analysis of two-dimensional two-sided space-fractional wave equation based on improved moving least-squares approximation
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Moving mesh methods for pricing Asian options with regime switching
- Finite difference scheme with a moving mesh for pricing Asian options
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
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