RBF based some implicit-explicit finite difference schemes for pricing option under extended jump-diffusion model
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Publication:6540205
DOI10.1016/J.ENGANABOUND.2023.08.021MaRDI QIDQ6540205
Alpesh Kumar, Deepak Kumar Yadav, Rajesh Yadav
Publication date: 15 May 2024
Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)
stability analysisradial basis functionjump-diffusion modeloperator splitting methodoptions pricinglocal-volatility
Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
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Related Items (2)
RBF–based IMEX finite difference schemes for pricing option under liquidity switching ⋮ RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
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