On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
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Publication:2204419
DOI10.1016/j.cnsns.2019.105160zbMath1463.91203OpenAlexW2998637999WikidataQ126428490 ScholiaQ126428490MaRDI QIDQ2204419
Mehdi Dehghan, Ali Foroush Bastani, Mohammad Shirzadi
Publication date: 15 October 2020
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2019.105160
partial integro-differential equationsjump-diffusion modelsmeshfree methodsmulti-asset option pricinglinear complementary problemmoving least-squares method
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Free boundary problems for PDEs (35R35)
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Uses Software
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