A meshless method for Asian style options pricing under the Merton jump-diffusion model

DOI10.1080/00207160.2015.1061125zbMath1386.91167OpenAlexW1820400330MaRDI QIDQ2804502

Aslam Aly El Faidal Saib, Muddun Bhuruth, Mohammad Sameer 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

zbMATH Keywords

Lévy processesAsian optionsexponential time integrationdifferential quadraturejump-diffusion modelsstrang splittingradial basis

Mathematics Subject Classification ID

Related Items (2)

RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility ⋮ Meshless analysis of two-dimensional two-sided space-fractional wave equation based on improved moving least-squares approximation

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