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

DOI10.1016/J.APNUM.2016.08.006MaRDI QIDQ321380zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingfinite differenceradial basis functionpartial integro-differential equationjump-diffusion models

Mathematics Subject Classification ID

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)

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Cites work

• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• A jump-diffusion model for option pricing
• A new radial basis functions method for pricing American options under Merton's jump-diffusion model
• A penalty method for American options with jump diffusion processes
• A quasi-radial basis functions method for American options pricing.
• A radial basis function scheme for option pricing in exponential Lévy models
• A second-order tridiagonal method for American options under jump-diffusion models
• Contour integral method for European options with jumps
• Efficient numerical methods for pricing American options under stochastic volatility
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options
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• Local RBF-FD solutions for steady convection -- diffusion problems
• Local multiquadric approximation for solving boundary value problems
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• Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
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• On using radial basis functions in a ``finite difference mode with applications to elasticity problems
• Operator splitting methods for American option pricing.
• Option pricing when underlying stock returns are discontinuous
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
• Point interpolation collocation method for the solution of partial differential equations
• Pricing options under jump diffusion processes with fitted finite volume method
• Radial basis functions with application to finance: American put option under jump diffusion
• Robust numerical methods for contingent claims under jump diffusion processes
• Scattered node compact finite difference-type formulas generated from radial basis functions
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
• Some observations regarding interpolants in the limit of flat radial basis functions

Cited in

(30)

• Radial basis function generated finite differences for option pricing problems
• 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
• scientific article; zbMATH DE number 2154388 (Why is no real title available?)
• 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

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