Pricing American options under jump-diffusion models using local weak form meshless techniques

DOI10.1080/00207160.2016.1227434MaRDI QIDQ4976348zbMATH OpenOpenAlexFDO

Authors Jamal Amani Rad, Kourosh Parand

Publication date 28 July 2017

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2016.1227434

zbMATH Keywords

option pricingAmerican optionstability analysisRichardson extrapolationLBIEMLSmeshless weak formLRPILPGMerton and Kou jump-diffusion models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Cites work

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Cited in

(16)

• Mean-square stability of stochastic system with Markov jump and Lévy noise via adaptive control
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
• An efficient numerical method for solving nonlinear Thomas-Fermi equation
• A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
• Solving partial differential equations by LS-SVM
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
• An RBF-FD method for pricing American options under jump-diffusion models
• On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
• Solving integral equations by LS-SVR
• Fourth-order exponential time differencing Runge–Kutta scheme and local meshless method to investigate unsteady diffusion–convection problems of anisotropic functionally graded materials
• An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
• A meshless method for Asian style options pricing under the Merton jump-diffusion model
• scientific article; zbMATH DE number 5305358 (Why is no real title available?)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
• On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

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