RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
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Publication:6540205
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Cites work
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- A jump-diffusion model for option pricing
- A new operator splitting method for American options under fractional Black-Scholes models
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- A penalty method for American options with jump diffusion processes
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
- A second-order tridiagonal method for American options under jump-diffusion models
- An RBF-FD method for pricing American options under jump-diffusion models
- An iterative method for pricing American options under jump-diffusion models
- Application of the local radial basis function-based finite difference method for pricing American options
- Computational Methods for Option Pricing
- Contour integral method for European options with jumps
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Estimation and prediction under local volatility jump-diffusion model
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- IMEX schemes for pricing options under jump-diffusion models
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
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- On choosing ``optimal shape parameters for RBF approximation
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- Option pricing when underlying stock returns are discontinuous
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- RBF-PU method for pricing options under the jump-diffusion model with local volatility
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- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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