Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
Ron Tat Lung Chan; Simon Hubbert
| Year of publication: |
2014
|
|---|---|
| Authors: | Chan, Tat Lung ; Hubbert, Simon |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 17.2014, 2, p. 161-189
|
| Subject: | European options | American options | Jump-diffusion models | Radial basis functions | Cubic spline | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | 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/10010529637