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

DOI10.1080/00207160.2016.1227434zbMATH Open1367.91197OpenAlexW2507251664MaRDI QIDQ4976348FDOQ4976348

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

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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)

Cites Work

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Cited In (12)

• 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
• A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
• An efficient numerical method for solving nonlinear Thomas-Fermi equation
• 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
• An RBF-FD method for pricing American options under jump-diffusion models
• 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
• Title not available (Why is that?)
• On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance

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