Pricing American options under jump-diffusion models using local weak form meshless techniques
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American optionLBIELPGLRPIMerton and Kou jump-diffusion modelsmeshless weak formMLSoption pricingRichardson extrapolationstability analysis
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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A jump-diffusion model for option pricing
- A meshless method on non-Fickian flows with mixing length growth in porous media based on radial basis functions: a comparative study
- A new meshless local Petrov-Galerkin (MLPG) approach in computational mechanics
- A new radial basis functions method for pricing American options under Merton's jump-diffusion model
- A numerical study of some radial basis function based solution methods for elliptic PDEs
- A penalty method for American options with jump diffusion processes
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications
- A second-order tridiagonal method for American options under jump-diffusion models
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- An iterative method for pricing American options under jump-diffusion models
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions
- Element‐free Galerkin methods
- Exponential convergence andH-c multiquadric collocation method for partial differential equations
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 1153808 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Improved radial basis function methods for multi-dimensional option pricing
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Local BIEM for transient heat conduction analysis in 3-D axisymmetric functionally graded solids
- 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
- Mathematical methods for financial markets.
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- On choosing ``optimal shape parameters for RBF approximation
- Option pricing when underlying stock returns are discontinuous
- Pricing European and American options by radial basis point interpolation
- 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
- Reproducing kernel particle methods
- Robust numerical methods for contingent claims under jump diffusion processes
- Scattered Data Approximation
- Stable Computations with Gaussian Radial Basis Functions
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- The parameter \(R^ 2\) in multiquadric interpolation
- The partition of unity finite element method: basic theory and applications
- The pricing of options and corporate liabilities
Cited in
(16)- An efficient numerical method for solving nonlinear Thomas-Fermi equation
- 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 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
- 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
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- A RBF based finite difference method for option pricing under regime-switching jump-diffusion model
- Solving partial differential equations by LS-SVM
- 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
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
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