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Ebrahimijahan, Ali; Dehghan, Mehdi; Abbaszadeh, Mostafa

A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models. (English) Zbl 1537.91356

Eng. Anal. Bound. Elem. 155, 48-61 (2023).

Cited in 3 Documents

MSC:

91G60 Numerical methods (including Monte Carlo methods)
65M70 Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs
65D12 Numerical radial basis function approximation
91G20 Derivative securities (option pricing, hedging, etc.)

Keywords:

integrated radial basis function based partition of unity; jump-diffusion models; proper orthogonal decomposition method; option pricing; partial integro-differential equations; American and European options; financial engineering

Software:

Matlab
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Full Text: DOI

References:

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