An efficient numerical method for pricing option under jump diffusion model
DOI10.1007/s12572-015-0136-zzbMath1342.91042MaRDI QIDQ531075
Mohan K. Kadalbajoo, Alpesh Kumar, Lok Pati Tripathi
Publication date: 3 August 2016
Published in: International Journal of Advances in Engineering Sciences and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12572-015-0136-z
option pricing; finite difference; radial basis function; partial integro-differential equation; jump-diffusion models
91G60: Numerical methods (including Monte Carlo methods)
45K05: Integro-partial differential equations
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
