An adaptive algorithm for solving stochastic multi-point boundary value problems (Q521930)
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scientific article; zbMATH DE number 6138083
- A radial basis collocation method for pricing American options under regime-switching jump-diffusion models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An adaptive algorithm for solving stochastic multi-point boundary value problems |
scientific article; zbMATH DE number 6138083 |
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An adaptive algorithm for solving stochastic multi-point boundary value problems (English)
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A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (English)
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12 April 2017
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21 February 2013
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stochastic differential equations
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multi-point boundary value problems
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multiple-shooting method
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adaptive time-stepping
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operator splitting
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numerical examples
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convergence
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regime switching
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Lévy models
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jump-diffusion process
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radial basis functions
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American option pricing
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coupled partial integro-differential equations (PIDEs)
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0.92603004
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0.92039275
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0.9092108
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0.9066356
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0.9042387
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0.8983005
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