Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model

DOI10.1016/j.apnum.2018.07.008zbMath1416.91404OpenAlexW2883676091MaRDI QIDQ1671736

Majid Haghi, Ruihua Liu, Reza Mollapourasl

Publication date: 7 September 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.07.008

zbMATH Keywords

convergenceoption pricingradial basis functionsfinite differenceregime-switching modelsoperator splitting methodjump diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ A radial basis function-Hermite finite difference (RBF-HFD) method for the cubic-quintic complex Ginzburg-Landau equation ⋮ Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization

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