A radial basis function based implicit-explicit method for option pricing under jump-diffusion models

DOI10.1016/j.apnum.2016.08.006zbMath1348.91285MaRDI QIDQ321380

Mohan 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

zbMATH Keywords

option pricing; finite difference; radial basis function; partial integro-differential equation; jump-diffusion models

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)