A Radial Basis Function scheme for option pricing in exponential Lévy models
Raymond Brummelhuis & Ron T. L. Chan
| Year of publication: |
2014
|
|---|---|
| Authors: | Brummelhuis, Raymond ; Chan, Ron T. L. |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 3/4, p. 238-269
|
| Subject: | Option pricing in exponential Lévy models | CGMY-KoBol and VG processes | partial integro-differential equations (PIDE) | radial basis function interpolation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010499707