Radial basis function approximation method for pricing of basket options under jump diffusion model

DOI10.1007/978-3-319-96415-7_7zbMath1427.91298OpenAlexW2907106983MaRDI QIDQ2008659

Ali Safdari-Vaighani

Publication date: 26 November 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-96415-7_7

zbMATH Keywords

jump diffusionbasket options pricingradial basis function approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Jump processes on discrete state spaces (60J74)

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