Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
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Publication:488213
DOI10.1007/S11147-013-9095-3zbMATH Open1303.91189OpenAlexW1995736194MaRDI QIDQ488213FDOQ488213
Authors: Ron Tat Lung Chan, Simon Hubbert 
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05)
Cites Work
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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 Flexible Galerkin Scheme for Option Pricing in Lévy Models
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion 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
- A radial basis function scheme for option pricing in exponential Lévy models
- Radial basis functions with application to finance: American put option under jump diffusion
- 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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