Brummelhuis, Raymond; Chan, Ron T. L. - In: Applied Mathematical Finance 21 (2014) 3, pp. 238-269
We use Radial Basis Function (RBF) interpolation to price options in exponential Lévy models by numerically solving the fundamental pricing PIDE (Partial integro-differential equations). Our RBF scheme can handle arbitrary singularities of the Lévy measure in 0 without introducing further...