Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
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Cites work
- scientific article; zbMATH DE number 486467 (Why is no real title available?)
- scientific article; zbMATH DE number 1742902 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A jump-diffusion model for option pricing
- A least-squares preconditioner for radial basis functions collocation methods
- A numerical study of some radial basis function based solution methods for elliptic PDEs
- A penalty method for American options with jump diffusion processes
- Accurate Evaluation of European and American Options Under the CGMY Process
- Asymptotic analysis of hedging errors in models with jumps
- Exotic options under Lévy models: an overview
- 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
- Implicit-explicit numerical schemes for jump-diffusion processes
- Improved radial basis function methods for multi-dimensional option pricing
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Meshfree approximation methods with Matlab. With CD-ROM.
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
- Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates
- Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
- Numerical valuation of options with jumps in the underlying
- On American Options Under the Variance Gamma Process
- On approximate cardinal preconditioning methods for solving PDEs with radial basis functions
- On the matrix \([| x_ i-x_ j| ^ 3]\) and the cubic spline continuity equations
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Option Pricing With V. G. Martingale Components1
- Option pricing when underlying stock returns are discontinuous
- Preconditioning for radial basis functions with domain decomposition methods
- Robust numerical methods for contingent claims under jump diffusion processes
- Scattered Data Approximation
- Some observations regarding interpolants in the limit of flat radial basis functions
- Stable Computations with Gaussian Radial Basis Functions
- Stable computation of differentiation matrices and scattered node stencils based on Gaussian radial basis functions
- The Variance Gamma Process and Option Pricing
- Theoretical and computational aspects of multivariate interpolation with increasingly flat radial basis functions
- Vectorized adaptive quadrature in MATLAB
- Wavelet Galerkin pricing of American options on Lévy driven assets
Cited in
(17)- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- An RBF-FD method for pricing American options under jump-diffusion models
- American-style options in jump-diffusion models: estimation and evaluation
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- An efficient numerical method for pricing option under jump diffusion model
- 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
- VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
- Forecasting the acquisition of university spin-outs: an RBF neural network approach
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- Radial-basis-function-based finite difference operator splitting method for pricing American options
- Radial basis functions with application to finance: American put option under jump diffusion
- A radial basis function scheme for option pricing in exponential Lévy models
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
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