A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications-Reference-Cited by-同舟云学术

A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications

Published:2012-11 Issue:11 Volume:36 Page:1546-1554
ISSN:0955-7997
Container-title:Engineering Analysis with Boundary Elements
language:en
Short-container-title:Engineering Analysis with Boundary Elements

Author:

Ballestra Luca Vincenzo,Pacelli Graziella

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics,General Engineering,Analysis

Reference66 articles.

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4. Mean first passage times of two-dimensional processes with jumps;Bo;Stat Probab Lett,2011

5. How to solve multi-asset Black–Scholes with time-dependent volatility and correlation;Bos;J Comput Finance,2001

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