Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
Year of publication: |
2014
|
---|---|
Authors: | Chan, Ron ; Hubbert, Simon |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 17.2014, 2, p. 161-189
|
Publisher: |
Springer |
Subject: | European options | American options | Jump-diffusion models | Radial basis functions | Cubic spline |
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