RBF-PU method for pricing options under the jump-diffusion model with local volatility
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Publication:1747298
DOI10.1016/j.cam.2018.01.002zbMath1457.65148OpenAlexW2782881869MaRDI QIDQ1747298
Reza Mollapourasl, Xun Lu, Ali Fereshtian, Hengguang Li
Publication date: 4 May 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.01.002
Numerical methods (including Monte Carlo methods) (91G60) Computational methods for sparse matrices (65F50) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Numerical radial basis function approximation (65D12)
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