Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov–Galerkin method
The most recent update of financial option models is American options under stochastic
volatility models with jumps in returns (SVJ) and stochastic volatility models with jumps in …
volatility models with jumps in returns (SVJ) and stochastic volatility models with jumps in …
Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov–Galerkin method
In this paper, a method for the numerical pricing of American and European options under
the Black–Scholes model is introduced. This approach is meshless local Petrov–Galerkin …
the Black–Scholes model is introduced. This approach is meshless local Petrov–Galerkin …
Pricing American options under jump-diffusion models using local weak form meshless techniques
J Amani Rad, K Parand - International Journal of Computer …, 2017 - Taylor & Francis
Recently, several numerical methods have been proposed for pricing options under jump-
diffusion models but very few studies have been conducted using meshless methods [R …
diffusion models but very few studies have been conducted using meshless methods [R …
Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European …
For the first time in mathematical finance field, we propose the local weak form meshless
methods for option pricing; especially in this paper we select and analysis two schemes of …
methods for option pricing; especially in this paper we select and analysis two schemes of …
[HTML][HTML] A numerical study of the European option by the MLPG method with moving kriging interpolation
P Phaochoo, A Luadsong, N Aschariyaphotha - SpringerPlus, 2016 - Springer
In this paper, the meshless local Petrov–Galerkin (MLPG) method is applied for solving a
generalized Black–Scholes equation in financial problems. This equation is a PDE …
generalized Black–Scholes equation in financial problems. This equation is a PDE …
Radial basis functions with partition of unity method for American options with stochastic volatility
In this article, we price American options under Heston's stochastic volatility model using a
radial basis function (RBF) with partition of unity method (PUM) applied to a linear …
radial basis function (RBF) with partition of unity method (PUM) applied to a linear …
Pricing European and American options by radial basis point interpolation
We propose the use of the meshfree radial basis point interpolation (RBPI) to solve the Black–
Scholes model for European and American options. The RBPI meshfree method offers …
Scholes model for European and American options. The RBPI meshfree method offers …
[PDF][PDF] A meshless method for numerical solutions of linear and nonlinear time-fractional Black-Scholes models
The numerical solution of the time-fractional Black-Scholes model for European and
American options is presented using a local meshless collocation approach based on hybrid …
American options is presented using a local meshless collocation approach based on hybrid …
Adaptive radial basis function methods for pricing options under jump-diffusion models
RTL Chan - Computational Economics, 2016 - Springer
The aim of this paper is to show that option prices in jump-diffusion models can be computed
using meshless methods based on radial basis function (RBF) interpolation instead of …
using meshless methods based on radial basis function (RBF) interpolation instead of …
A numerical study of radial basis function based methods for options pricing under the one dimension jump-diffusion model
The aim of this chapter is to show how option prices in jump-diffusion models can be
computed using meshless methods based on Radial Basis Function (RBF) interpolation …
computed using meshless methods based on Radial Basis Function (RBF) interpolation …