An RBF-FD method for pricing American options under jump-diffusion models
- Author
- Majid Haghi, Reza Mollapourasl and Michèle Vanmaele (UGent)
- Organization
- Keywords
- Radial basis functions, Finite difference, Option pricing, Merton's and Kou's models, RADIAL BASIS FUNCTIONS, BASIS FUNCTION INTERPOLATION, FINITE-VOLUME METHOD, NUMERICAL VALUATION, EUROPEAN OPTIONS, COLLOCATION, VOLATILITY, EQUATIONS, SCHEMES
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8593878
- MLA
- Haghi, Majid, et al. “An RBF-FD Method for Pricing American Options under Jump-Diffusion Models.” COMPUTERS & MATHEMATICS WITH APPLICATIONS, vol. 76, no. 10, 2018, pp. 2434–59, doi:10.1016/j.camwa.2018.08.040.
- APA
- Haghi, M., Mollapourasl, R., & Vanmaele, M. (2018). An RBF-FD method for pricing American options under jump-diffusion models. COMPUTERS & MATHEMATICS WITH APPLICATIONS, 76(10), 2434–2459. https://doi.org/10.1016/j.camwa.2018.08.040
- Chicago author-date
- Haghi, Majid, Reza Mollapourasl, and Michèle Vanmaele. 2018. “An RBF-FD Method for Pricing American Options under Jump-Diffusion Models.” COMPUTERS & MATHEMATICS WITH APPLICATIONS 76 (10): 2434–59. https://doi.org/10.1016/j.camwa.2018.08.040.
- Chicago author-date (all authors)
- Haghi, Majid, Reza Mollapourasl, and Michèle Vanmaele. 2018. “An RBF-FD Method for Pricing American Options under Jump-Diffusion Models.” COMPUTERS & MATHEMATICS WITH APPLICATIONS 76 (10): 2434–2459. doi:10.1016/j.camwa.2018.08.040.
- Vancouver
- 1.Haghi M, Mollapourasl R, Vanmaele M. An RBF-FD method for pricing American options under jump-diffusion models. COMPUTERS & MATHEMATICS WITH APPLICATIONS. 2018;76(10):2434–59.
- IEEE
- [1]M. Haghi, R. Mollapourasl, and M. Vanmaele, “An RBF-FD method for pricing American options under jump-diffusion models,” COMPUTERS & MATHEMATICS WITH APPLICATIONS, vol. 76, no. 10, pp. 2434–2459, 2018.
@article{8593878,
author = {{Haghi, Majid and Mollapourasl, Reza and Vanmaele, Michèle}},
issn = {{0898-1221}},
journal = {{COMPUTERS & MATHEMATICS WITH APPLICATIONS}},
keywords = {{Radial basis functions,Finite difference,Option pricing,Merton's and Kou's models,RADIAL BASIS FUNCTIONS,BASIS FUNCTION INTERPOLATION,FINITE-VOLUME METHOD,NUMERICAL VALUATION,EUROPEAN OPTIONS,COLLOCATION,VOLATILITY,EQUATIONS,SCHEMES}},
language = {{eng}},
number = {{10}},
pages = {{2434--2459}},
title = {{An RBF-FD method for pricing American options under jump-diffusion models}},
url = {{http://doi.org/10.1016/j.camwa.2018.08.040}},
volume = {{76}},
year = {{2018}},
}
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