Pricing American options under jump-diffusion models using local weak form meshless techniques
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Publication:4976348
option pricingAmerican optionstability analysisRichardson extrapolationLBIEMLSmeshless weak formLRPILPGMerton and Kou jump-diffusion models
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
- scientific article; zbMATH DE number 1153808 (Why is no real title available?)
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- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
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Cited in
(16)- Fourth-order exponential time differencing Runge–Kutta scheme and local meshless method to investigate unsteady diffusion–convection problems of anisotropic functionally graded materials
- Mean-square stability of stochastic system with Markov jump and Lévy noise via adaptive control
- An RBF-FD method for pricing American options under jump-diffusion models
- Solving integral equations by LS-SVR
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- 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
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- scientific article; zbMATH DE number 5305358 (Why is no real title available?)
- 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
- 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
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
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