RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients-Reference-Cited by-同舟云学术

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RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients

Published:2023-12-18 Issue: Volume: Page:
ISSN:1017-1398
Container-title:Numerical Algorithms
language:en
Short-container-title:Numer Algor

Author:

Yadav Rajesh,Yadav Deepak Kumar,Kumar Alpesh

Funder

Council of Scientific and Industrial Research, India

University Grants Commission

Science and Engineering Research Board

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics

Link

https://link.springer.com/content/pdf/10.1007/s11075-023-01719-2.pdf

Reference68 articles.

1. Abbaszadeh, M., Dehghan, M.: Reduced order modeling of time-dependent incompressible Navier-Stokes equation with variable density based on a local radial basis functions-finite difference (LRBF-FD) technique and the POD/DEIM method. Comput. Methods. Appl. Mech. Eng. 364, 112914 (2020)

2. Achdou, Y., Pironneau, O.: Computational methods for option pricing. SIAM (2005)

3. Aiıt-Sahalia, Y., Wang, Y., Yared, F.: Do option markets correctly price the probabilities of movement of the underlying asset? J. Econ. 102(1), 67–110 (2001)

4. Almendral, A., Oosterlee, C.W.: Numerical valuation of options with jumps in the underlying. Appl Numer Math 53(1), 1–18 (2005)

5. Andersen, L.: Markov models for commodity futures: theory and practice. Quant. Finan. 10(8), 831–854 (2010)

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1. RBF–based IMEX finite difference schemes for pricing option under liquidity switching;International Journal of Computer Mathematics;2024-07-02

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