An RBF–FD method for pricing American options under jump–diffusion models
نویسندگان
چکیده
منابع مشابه
An Iterative Method for Pricing American Options under Jump-Diffusion Models
We propose an iterative method for pricing American options under jumpdiffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 2018
ISSN: 0898-1221
DOI: 10.1016/j.camwa.2018.08.040