A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models

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

zbMATH Keywords

radial basis function interpolationmulti-quadricspartial integro-differential equations (PIDE)CGMY-KoBoL and VG processesoption pricing in exponential Lévy models

Mathematics Subject Classification ID

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)

Related Items (7)

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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