A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models

DOI10.1016/j.enganabound.2023.05.032zbMATH Open1537.91356MaRDI QIDQ6539830

Mehdi Dehghan, Ali Ebrahimijahan, Mostafa Abbaszadeh

Publication date: 15 May 2024

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

zbMATH Keywords

option pricingfinancial engineeringpartial integro-differential equationsjump-diffusion modelsproper orthogonal decomposition methodAmerican and European optionsintegrated radial basis function based partition of unity

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) Numerical radial basis function approximation (65D12)

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Related Items (4)

Weight calculation and convergence analysis of polyharmonic spline (PHS) with polynomials for different stencils ⋮ Numerical investigation of high-dimensional option pricing PDEs by utilizing a hybrid radial basis function -- finite difference procedure ⋮ Collocation discrete least squares meshless method for solving nonlinear multi-term time fractional differential equations ⋮ Robust iterative spectral algorithms for smooth solutions of time-fractional nonlinear diffusion problems and convergence analysis

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