An efficient numerical method for pricing option under jump diffusion model
DOI10.1007/S12572-015-0136-ZzbMath1342.91042OpenAlexW1940115485MaRDI QIDQ531075
Lok Pati Tripathi, Alpesh Kumar, Mohan K. Kadalbajoo
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 pricingfinite differenceradial basis functionpartial integro-differential equationjump-diffusion models
Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Cites Work
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