A new radial basis functions method for pricing American options under Merton's jump-diffusion model
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Computational Theory and Mathematics,Computer Science Applications
Link
http://www.tandfonline.com/doi/pdf/10.1080/00207160.2012.690034
Reference39 articles.
1. Numerical valuation of options with jumps in the underlying
2. Comparison of methods for evaluating functions of a matrix exponential
3. Differential quadrature: A technique for the rapid solution of nonlinear partial differential equations
4. The Pricing of Options and Corporate Liabilities
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