A local radial basis function method for pricing options under the regime switching model
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Publication:2000056
DOI10.1007/s10915-018-0858-8zbMath1417.91557OpenAlexW2898258195WikidataQ129035660 ScholiaQ129035660MaRDI QIDQ2000056
Hengguang Li, Reza Mollapourasl, Majid Haghi
Publication date: 27 June 2019
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-018-0858-8
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)
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Cites Work
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