Pricing Options under Jump-Diffusion Models by Adaptive Radial Basic Functions
Year of publication: |
2010-03-31
|
---|---|
Authors: | Chan, Ron |
Institutions: | Department of Economics, University of Bath |
Subject: | the merton jump-diffusions model | singularity | option pricing | adaptive method | radial basis function | levy processes | parabolic partial integro-differential equations |
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