RBF based some implicit–explicit finite difference schemes for pricing option under extended jump-diffusion model-Reference-Cited by-同舟云学术

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RBF based some implicit–explicit finite difference schemes for pricing option under extended jump-diffusion model

Published:2023-11 Issue: Volume:156 Page:392-406
ISSN:0955-7997
Container-title:Engineering Analysis with Boundary Elements
language:en
Short-container-title:Engineering Analysis with Boundary Elements

Author:

Yadav Rajesh,Yadav Deepak Kumar,Kumar Alpesh^ORCID

Funder

Council of Scientific and Industrial Research, India

University Grants Commission

Science and Engineering Research Board

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,General Engineering,Analysis

Reference44 articles.

1. Do option markets correctly price the probabilities of movement of the underlying asset?;Aıt-Sahalia;J Econom,2001

2. Implied volatility functions: Empirical tests;Dumas;J Finance,1998

3. Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options;Bates;Rev Financ Stud,1996

4. Transform analysis and asset pricing for affine jump-diffusions;Duffie;Econometrica,2000

5. The statistical and economic role of jumps in continuous-time interest rate models;Johannes;J Finance,2004

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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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3. Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error;Computational Economics;2024-03-02

4. RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients;Numerical Algorithms;2023-12-18

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