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International Journal of Computer Mathematics Volume 89, 2012 - Issue 9: COMPUTATIONAL METHODS FOR PDEs IN FINANCE
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Section B

A new radial basis functions method for pricing American options under Merton's jump-diffusion model

A. A.E.F. Saib Department of Applied Mathematical Sciences, University of Technology, Reduit, Mauritius
,
D. Y. Tangman Department of Mathematics, University of Mauritius, Reduit, Mauritius
&
M. Bhuruth Department of Mathematics, University of Mauritius, Reduit, MauritiusCorrespondence[email protected]
Pages 1164-1185 | Received 29 Mar 2011, Accepted 26 Apr 2012, Published online: 24 May 2012

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Alpesh Kumar & B. V. Rathish Kumar. (2019) A RBF based finite difference method for option pricing under regime-switching jump-diffusion model. International Journal for Computational Methods in Engineering Science and Mechanics 20:5, pages 451-459.
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Mohan K. Kadalbajoo, Alpesh Kumar & Lok Pati Tripathi. (2018) Radial-basis-function-based finite difference operator splitting method for pricing American options. International Journal of Computer Mathematics 95:11, pages 2343-2359.
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Jamal Amani Rad & Kourosh Parand. (2017) Pricing American options under jump-diffusion models using local weak form meshless techniques. International Journal of Computer Mathematics 94:8, pages 1694-1718.
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A.A.E.F. Saib, M.S. Sunhaloo & M. Bhuruth. (2015) A meshless method for Asian style options pricing under the Merton jump-diffusion model. International Journal of Computer Mathematics 92:12, pages 2498-2514.
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Articles from other publishers (24)

Deepak Kumar Yadav, Akanksha Bhardwaj & Alpesh Kumar. (2024) Operator Splitting Method to Solve the Linear Complementarity Problem for Pricing American Option: An Approximation of Error. Computational Economics.
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Deepak Kumar Yadav, Akanksha Bhardwaj & Alpesh Kumar. (2023) Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model. Computational and Applied Mathematics 43:1.
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Rafael Company, Vera N. Egorova & Lucas Jódar. (2023) An ETD method for multi‐asset American option pricing under jump‐diffusion model. Mathematical Methods in the Applied Sciences 46:9, pages 10332-10347.
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Mostafa Abbaszadeh, Yasmin Kalhor, Mehdi Dehghan & Marco Donatelli. (2023) A reduced-order model based on cubic B-spline basis function and SSP Runge–Kutta procedure to investigate option pricing under jump-diffusion models. Engineering Analysis with Boundary Elements 150, pages 154-166.
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Jason Narsoo, Nawdha Thakoor, Yannick Désiré Tangman & Muddun Bhuruth. (2023) High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility. Engineering Analysis with Boundary Elements 146, pages 869-879.
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Pei Yang & Zuoliang Xu. (2022) Numerical Valuation of European and American Options under Fractional Black-Scholes Model. Fractal and Fractional 6:3, pages 143.
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Myrsini Ntemi & Constantine Kotropoulos. (2021) A jump-diffusion particle filter for price prediction. Signal Processing 183, pages 107994.
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Yusho Kagraoka. (2020) The Fractional Step Method versus the Radial Basis Functions for Option Pricing with Correlated Stochastic Processes. International Journal of Financial Studies 8:4, pages 77.
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Nawdha Thakoor, Dhiren Kumar Behera, Désiré Yannick Tangman & Muddun Bhuruth. (2019) Howard’s algorithm for high-order approximations of American options under jump-diffusion models. International Journal of Data Science and Analytics 10:2, pages 193-203.
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Rafael Company, Vera N. Egorova & Lucas Jódar. (2020) A front-fixing ETD numerical method for solving jump–diffusion American option pricing problems. Mathematics and Computers in Simulation.
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Le Minh Hieu, Truong Thi Hieu Hanh & Dang Ngoc Hoang Thanh. (2020) Monotone Finite-Difference Schemes With Second Order Approximation Based on Regularization Approach for the Dirichlet Boundary Problem of the Gamma Equation. IEEE Access 8, pages 45119-45132.
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Majid Haghi, Reza Mollapourasl & Michèle Vanmaele. (2018) An RBF–FD method for pricing American options under jump–diffusion models. Computers & Mathematics with Applications 76:10, pages 2434-2459.
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Nawdha Thakoor, Désiré Yannick Tangman & Muddun Bhuruth. (2018) RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility. Engineering Analysis with Boundary Elements 92, pages 207-217.
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Alessandro Andreoli, Luca Vincenzo Ballestra & Graziella Pacelli. (2016) Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. Computational Economics 51:3, pages 379-406.
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Ahmad Golbabai & Ehsan Mohebianfar. (2017) A new method for evaluating options based on multiquadric RBF-FD method. Applied Mathematics and Computation 308, pages 130-141.
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Leila Khodayari & Mojtaba Ranjbar. (2016) A Numerical Method to Approximate Multi-Asset Option Pricing Under Exponential Lévy Model. Computational Economics 50:2, pages 189-205.
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Xiandong Wang & Jianmin He. (2017) A simple method for generalized sequential compound options pricing. Mathematical Social Sciences 87, pages 85-91.
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A. Golbabai & E. Mohebianfar. (2016) A New Stable Local Radial Basis Function Approach for Option Pricing. Computational Economics 49:2, pages 271-288.
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Mohan K. Kadalbajoo, Alpesh Kumar & Lok Pati Tripathi. (2016) A radial basis function based implicit–explicit method for option pricing under jump-diffusion models. Applied Numerical Mathematics 110, pages 159-173.
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Mohan K. Kadalbajoo, Alpesh Kumar & Lok Pati Tripathi. (2015) An efficient numerical method for pricing option under jump diffusion model. International Journal of Advances in Engineering Sciences and Applied Mathematics 7:3, pages 114-123.
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Jamal Amani Rad, Kourosh Parand & Saeid Abbasbandy. (2015) Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options. Communications in Nonlinear Science and Numerical Simulation 22:1-3, pages 1178-1200.
Crossref
Bin Song, Enqi Liang & Bing Liu. (2014) American Option Pricing Using Particle Filtering Under Stochastic Volatility Correlated Jump Model. Journal of Systems Science and Information 2:6, pages 505-519.
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Ali Foroush Bastani, Zaniar Ahmadi & Davood Damircheli. (2013) A radial basis collocation method for pricing American options under regime-switching jump-diffusion models. Applied Numerical Mathematics 65, pages 79-90.
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Aslam Aly El-Faïdal Saib, Arshad Ahmud Iqbal Peer & Muddun Bhuruth. 2013. Computational Science and Its Applications – ICCSA 2013. Computational Science and Its Applications – ICCSA 2013 77 90 .

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