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Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
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2003Convergence remedies for non-smooth payoffs in option pricing155 cited
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2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps78 cited
2017Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatility38 cited
2018An RBF–FD method for pricing American options under jump–diffusion models34 cited
2022American options pricing under regime-switching jump-diffusion models with meshfree finite point method30 cited
2019On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation

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29 cited

2016A fast numerical method to price American options under the Bates model28 cited

2017Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov–Galerkin method27 cited

2017Forward deterministic pricing of options using Gaussian radial basis functions26 cited