An RBF-FD method for pricing American options under jump-diffusion models
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Publication:2203013
DOI10.1016/j.camwa.2018.08.040zbMath1442.91100OpenAlexW2891441787WikidataQ129323103 ScholiaQ129323103MaRDI QIDQ2203013
Reza Mollapourasl, Michèle Vanmaele, Majid Haghi
Publication date: 1 October 2020
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2018.08.040
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)
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