A radial basis function based implicit-explicit method for option pricing under jump-diffusion models
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Publication:321380
DOI10.1016/j.apnum.2016.08.006zbMath1348.91285OpenAlexW2513339681MaRDI QIDQ321380
Alpesh Kumar, Lok Pati Tripathi, Mohan K. Kadalbajoo
Publication date: 13 October 2016
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2016.08.006
option pricingfinite differenceradial basis functionpartial integro-differential equationjump-diffusion models
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (11)
RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility ⋮ A trustable shape parameter in the kernel-based collocation method with application to pricing financial options ⋮ A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems ⋮ A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models ⋮ Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ An RBF-FD method for pricing American options under jump-diffusion models ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
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