A meshless method for Asian style options pricing under the Merton jump-diffusion model
DOI10.1080/00207160.2015.1061125zbMATH Open1386.91167OpenAlexW1820400330MaRDI QIDQ2804502FDOQ2804502
A. A. E. F. Saib, M. S. Sunhaloo, Muddun Bhuruth
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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[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]differential quadraturejump-diffusion modelsstrang splittingAsian optionsexponential time integrationradial basis
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)
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Cited In (3)
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