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International Journal of Computer Mathematics Volume 94, 2017 - Issue 8
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Original Articles

Pricing American options under jump-diffusion models using local weak form meshless techniques

Jamal Amani RadDepartment of Computer Sciences, Faculty of Mathematical Sciences, Shahid Beheshti University, G.C. Tehran, Iran;Department of Cognitive Modeling, Institute for Cognitive and Brain Sciences, Shahid Beheshti University, G.C. Tehran, Iran
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Kourosh ParandDepartment of Computer Sciences, Faculty of Mathematical Sciences, Shahid Beheshti University, G.C. Tehran, Iran;Department of Cognitive Modeling, Institute for Cognitive and Brain Sciences, Shahid Beheshti University, G.C. Tehran, IranCorrespondence[email protected]
Pages 1694-1718 | Received 15 Jul 2015, Accepted 06 Aug 2016, Published online: 03 Sep 2016

Citations (9)

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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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Articles from other publishers (8)

Kourosh Parand, Alireza Afzal Aghaei, Mostafa Jani & Reza Sahleh. 2023. Learning with Fractional Orthogonal Kernel Classifiers in Support Vector Machines. Learning with Fractional Orthogonal Kernel Classifiers in Support Vector Machines 199 224 .
Mohammad Mahdi Moayeri & Mohammad Hemami. 2023. Learning with Fractional Orthogonal Kernel Classifiers in Support Vector Machines. Learning with Fractional Orthogonal Kernel Classifiers in Support Vector Machines 171 198 .
Mengling Li, Feiqi Deng, Xiaofeng Zheng & Jinnan Luo. (2021) Mean-square stability of stochastic system with Markov jump and Lévy noise via adaptive control. Journal of the Franklin Institute 358:2, pages 1291-1307.
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Rafael Company, Vera N. Egorova, Lucas Jódar & Fazlollah Soleymani. (2018) A stable local radial basis function method for option pricing problem under the Bates model. Numerical Methods for Partial Differential Equations 35:3, pages 1035-1055.
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Wansheng Wang, Yingzi Chen & Hua Fang. (2019) On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance. SIAM Journal on Numerical Analysis 57:3, pages 1289-1317.
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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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Kourosh Parand, Yasaman Lotfi & Jamal Amani Rad. (2017) An accurate numerical analysis of the laminar two-dimensional flow of an incompressible Eyring-Powell fluid over a linear stretching sheet. The European Physical Journal Plus 132:9.
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Kourosh Parand, Pooria Mazaheri, Hossein Yousefi & Mehdi Delkhosh. (2017) Fractional order of rational Jacobi functions for solving the non-linear singular Thomas-Fermi equation. The European Physical Journal Plus 132:2.
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