Adaptive Radial Basis Function Methods for Pricing Options Under Jump-Diffusion Models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-016-9563-6.pdf
Reference32 articles.
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3. Brummelhuis, R., & Chan, R. L. T. (2014). A radial basis function scheme for option pricing in exponential Lvy models. Applied Mathematics Finance, 21(3), 238–269.
4. Buhmann, M. D. (2003). Radial basis functions: Theory and implementations, volume 12 of cambridge monographs on applied and computational mathematics. Cambridge: Cambridge University Press.
5. Carr, P., Geman, H., Madan, D. B., & Yor, M. (2002). The fine structure of asset returns: An empirical investigation. Journal of Business, 75, 305–332.
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