A stable local radial basis function method for option pricing problem under the Bates model-Reference-Cited by-同舟云学术

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A stable local radial basis function method for option pricing problem under the Bates model

Published:2018-12-17 Issue:3 Volume:35 Page:1035-1055
ISSN:0749-159X
Container-title:Numerical Methods for Partial Differential Equations
language:en
Short-container-title:Numer. Methods Partial Differential Eq.

Author:

Company Rafael¹^ORCID,Egorova Vera N.²,Jódar Lucas¹,Soleymani Fazlollah³

Affiliation:

1. Instituto Universitario de Matemática MultidisciplinarUniversitat Politècnica de València València Spain

2. BCAM – Basque Center for Applied Mathematics Bilbao Basque Country Spain

3. Department of MathematicsInstitute for Advanced Studies in Basic Sciences (IASBS) Zanjan Iran

Funder

Norfolk Southern

Secretaría de Estado de Investigación, Desarrollo e Innovación

Publisher

Wiley

Subject

Applied Mathematics,Computational Mathematics,Numerical Analysis,Analysis

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/num.22337

Reference38 articles.

1. A Workout in Computational Finance

2. Adaptive finite differences and IMEX time-stepping to price options under Bates model

3. Pricing American options under jump-diffusion models using local weak form meshless techniques

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