Name
Title | ||
|---|---|---|
On the Pricing of Multi-Asset Options under Jump-Diffusion Processes using Meshfree Moving Least-Squares Approximation |
Abstract | ||
|---|---|---|
•Applying the moving least squares approximation for pricing multi-asset European under jump-diffusion models.•Developing the proposed method for pricing multi-asset option written on Lévy-driven assets with an operator splitting approach.•Computing hedge parameters of European and American options and early exercise boundary of American options with little extra cost via the proposed method.•Comparison the proposed method with finite difference method for validating our result. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.cnsns.2019.105160 | Communications in Nonlinear Science and Numerical Simulation |
Keywords | DocType | Volume |
Multi-asset option pricing,Moving least-squares method,Jump-diffusion models,Partial integro-differential equations,Linear complementary problem,Meshfree methods | Journal | 84 |
ISSN | Citations | PageRank |
1007-5704 | 0 | 0.34 |
References | Authors | |
0 | 3 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Mohammad Shirzadi | 1 | 0 | 0.34 |
| Mehdi Dehghan | 2 | 3022 | 324.48 |
| Ali Foroush Bastani | 3 | 10 | 4.85 |