Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
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 |
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