A meshless method for Asian style options pricing under the Merton jump-diffusion model
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Cites work
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- A numerical study of Asian option with radial basis functions based finite differences method
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- Accurate pricing formulas for Asian options
- Adaptive radial basis function methods for time dependent partial differential equations
- Application of the local radial basis function-based finite difference method for pricing American options
- Comparison of methods for evaluating functions of a matrix exponential
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 1243617 (Why is no real title available?)
- Improved radial basis function methods for multi-dimensional option pricing
- Laplace transform and finite difference methods for the Black-Scholes equation
- Numerical method of pricing discretely monitored barrier option
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- On the Construction and Comparison of Difference Schemes
- On the Valuation of Asian Options by Variational Methods
- Option pricing when underlying stock returns are discontinuous
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- Options valuation by using radial basis function approximation
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Radial basis functions with application to finance: American put option under jump diffusion
- Spectral Expansions for Asian (Average Price) Options
- Spectral Methods in MATLAB
- The Fast Gauss Transform
- The pricing of options and corporate liabilities
- The value of an Asian option
- Tools for computational finance
- TVD, WENO and blended BDF discretizations for Asian options
Cited in
(8)- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
- Finite difference scheme with a moving mesh for pricing Asian options
- Meshless analysis of two-dimensional two-sided space-fractional wave equation based on improved moving least-squares approximation
- Pricing American options under jump-diffusion models using local weak form meshless techniques
- Efficient willow tree method for Asian option pricing under Merton jump-diffusion model
- Moving mesh methods for pricing Asian options with regime switching
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