A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
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Publication:321380
DOI10.1016/J.APNUM.2016.08.006zbMATH Open1348.91285OpenAlexW2513339681MaRDI QIDQ321380FDOQ321380
Authors: M. K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi 
Publication date: 13 October 2016
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2016.08.006
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option pricingfinite differenceradial basis functionpartial integro-differential equationjump-diffusion models
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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Cited In (30)
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- An implicit double discretization method for pricing options under Metron's jump-diffusion model
- An RBF approach for oil futures pricing under the jump-diffusion model
- Radial basis function approximation method for pricing of basket options under jump diffusion model
- A trustable shape parameter in the kernel-based collocation method with application to pricing financial options
- RBF–based IMEX finite difference schemes for pricing option under liquidity switching
- A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models
- An RBF-FD method for pricing American options under jump-diffusion models
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- A novel local meshless scheme based on the radial basis function for pricing multi-asset options
- An efficient numerical method for pricing option under jump diffusion model
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- Title not available (Why is that?)
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- Radial basis functions with application to finance: American put option under jump diffusion
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Radial basis function generated finite differences for option pricing problems
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