Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme

DOI10.1007/s11147-013-9095-3zbMath1303.91189OpenAlexW1995736194MaRDI QIDQ488213

Simon Hubbert, Ron Tat Lung Chan

Publication date: 23 January 2015

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://roar.uel.ac.uk/6607/1/6607.pdf

zbMATH Keywords

radial basis functionsAmerican optionscubic splineEuropean optionsjump-diffusion models

Mathematics Subject Classification ID

Related Items (11)

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 ⋮ American-style options in jump-diffusion models: estimation and evaluation ⋮ Forecasting the acquisition of university spin-outs: an RBF neural network approach ⋮ An RBF-FD method for pricing American options under jump-diffusion models ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ 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 ⋮ 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

Uses Software

• Matlab
• quadgk
• rbf_qr
• quadva

Cites Work

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