A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
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Publication:4586030
DOI10.1080/1350486X.2013.850902zbMath1395.91433OpenAlexW2092696486MaRDI QIDQ4586030
Ron Tat Lung Chan, R. G. M. Brummelhuis
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.850902
radial basis function interpolationmulti-quadricspartial integro-differential equations (PIDE)CGMY-KoBoL and VG processesoption pricing in exponential Lévy models
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Convergence estimates for stationary radial basis function interpolation and for semi-discrete collocation-schemes, A radial basis function based implicit-explicit method for option pricing under jump-diffusion models, A Flexible Galerkin Scheme for Option Pricing in Lévy Models, A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model, Closed-form option pricing for exponential Lévy models: a residue approach, An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes, A fast numerical method to price American options under the Bates model
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