Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574)

scientific article; zbMATH DE number 6148795

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English	Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions	scientific article; zbMATH DE number 6148795

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instance of

scholarly article

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title

Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (English)

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published in

Engineering Analysis with Boundary Elements

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publication date

25 March 2013

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author

Luca Vincenzo Ballestra

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Graziella Pacelli

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.enganabound.2011.02.008

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cites work

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Multigrid for American option pricing with stochastic volatility

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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

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Q4355440

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The Runge phenomenon and spatially variable shape parameters in RBF interpolation

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Solving partial differential equations by collocation using radial basis functions

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Robust numerical methods for contingent claims under jump diffusion processes

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First-passage failure of quasi-non-integrable-Hamiltonian systems

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Options valuation by using radial basis function approximation

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Theory and applications of the multiquadric-biharmonic method. 20 years of discovery 1968-1988

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Multiquadric method for the numerical solution of a biphasic mixture model

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An efficient numerical scheme for Burger equation

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Meshless collocation method by delta-shaped basis functions for default barrier model

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Valuing credit derivatives in a jump-diffusion model

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On the increasingly flat radial basis function and optimal shape parameter for the solution of elliptic PDEs

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Error estimate, optimal shape factor, and high precision computation of multiquadric collocation method

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On the parameter estimation for diffusion models of single neuron's activities. I: Application to spontaneous activities of mesencephalic reticular formation cells in sleep and waking states

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Multiquadrics - a scattered data approximation scheme with applications to computational fluid-dynamics. I: Surface approximations and partial derivative estimates

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A Jump-Diffusion Model for Option Pricing

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Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform

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A comparison of efficiency and error convergence of multiquadric collocation method and finite element method.

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First passage time problem for a drifted Ornstein-Uhlenbeck process

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On the use of boundary conditions for variational formulations arising in financial mathematics.

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Option pricing when underlying stock returns are discontinuous

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First passage time distribution in an oscillating field

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Delayed-exponential approximation of a linear homogeneous diffusion model of neuron

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Improved radial basis function methods for multi-dimensional option pricing

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Fast convolution with radial kernels at nonequispaced knots

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An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation

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First-passage time for randomly excited non-linear oscillators

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Identifiers

zbMATH Open document ID

1259.65157

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Mathematics Subject Classification ID

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10.1016/J.ENGANABOUND.2011.02.008

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Sitelinks

Mathematics(1 entry)

mardi Publication:1944574