A meshless method for Asian style options pricing under the Merton jump-diffusion model
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Publication:2804502
DOI10.1080/00207160.2015.1061125zbMath1386.91167MaRDI QIDQ2804502
Muddun Bhuruth, Aslam Aly El Faidal Saib, 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
Lévy processes; Asian options; exponential time integration; differential quadrature; jump-diffusion models; strang splitting; radial basis
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