A radial basis function scheme for option pricing in exponential Lévy models
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Publication:4586030
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Cites work
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- Adaptive residual subsampling methods for radial basis function interpolation and collocation problems
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- Early exercise boundary and option prices in Lévy driven models
- Error estimates and condition numbers for radial basis function interpolation
- Fast and accurate pricing of barrier options under Lévy processes
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Financial Modelling with Jump Processes
- Fourier space time-stepping for option pricing with Lévy models
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- Improved accuracy of multiquadric interpolation using variable shape parameters
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- The Variance Gamma Process and Option Pricing
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- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(17)- Radial basis function generated finite differences for option pricing problems
- Radial basis functions with application to finance: American put option under jump diffusion
- Convergence estimates for stationary radial basis function interpolation and for semi-discrete collocation-schemes
- Pricing and simulation for real estate index options: radial basis point interpolation
- A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- A spectral element framework for option pricing under general exponential Lévy processes
- A Flexible Galerkin Scheme for Option Pricing in Lévy Models
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- Approximation of insurance liability contracts using radial basis functions
- 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
- Application of radial basis function with L-stable Padé time marching scheme for pricing exotic option
- 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
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
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