An RBF approach for oil futures pricing under the jump-diffusion model
DOI10.22124/jmm.2020.15948.1396zbMath1488.65507OpenAlexW3164461299MaRDI QIDQ5855722
Esfahani Mohammad Karimnejad, Abdolsadeh Neisy, Stefano De Marchi
Publication date: 19 March 2021
Full work available at URL: https://jmm.guilan.ac.ir/article_4234_4601c4bfd9ea42954940b31531be8371.pdf
initial and boundary value problemsjump-diffusion modelradial basis functions (RBF)oil futuresoil derivative market
Ill-posedness and regularization problems in numerical linear algebra (65F22) Microeconomic theory (price theory and economic markets) (91B24) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22) Numerical radial basis function approximation (65D12)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- An adaptive algorithm for solving stochastic multi-point boundary value problems
- A numerical study of some radial basis function based solution methods for elliptic PDEs
- Stability of kernel-based interpolation
- Improved radial basis function methods for multi-dimensional option pricing
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
- Adaptive \(\theta \)-methods for pricing American options
- RBF-based partition of unity methods for elliptic PDEs: adaptivity and stability issues via variably scaled kernels
- A stable meshfree PDE solver for source-type flows in porous media
- An inverse finance problem for estimation of the volatility
- Implementing a Real Option Model for Valuing an Undeveloped Oil Field
- Option pricing when underlying stock returns are discontinuous
This page was built for publication: An RBF approach for oil futures pricing under the jump-diffusion model
