RBF-PU method for pricing options under the jump-diffusion model with local volatility
type: Item
instance of: scholarly article
title: RBF-PU method for pricing options under the jump-diffusion model with local volatility
zbMATH Open document ID: 1457.65148
author: R. Mollapourasl
author: Ali Fereshtian
author: Hengguang Li
author: Xun Lu
published in: Journal of Computational and Applied Mathematics
publication date: 2018-05-04T00:00:00Z
Mathematics Subject Classification ID: 65M70
Mathematics Subject Classification ID: 65D12
Mathematics Subject Classification ID: 65F50
Mathematics Subject Classification ID: 35R09
Mathematics Subject Classification ID: 45K05
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6866624
zbMATH Keywords: radial basis functions
zbMATH Keywords: partition of unity
zbMATH Keywords: option pricing
zbMATH Keywords: jump-diffusion
zbMATH Keywords: Merton and Kou models
describes a project that uses: Matlab
MaRDI profile type: Publication
full work available at URL: j.cam.2018.01.002
OpenAlex ID: W2782881869
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DOI: 10.1016/J.CAM.2018.01.002
description: scientific article; zbMATH DE number 6866624