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ArticleForward deterministic pricing of options using Gaussian radial basis functions

Jamal Amani Rad2017

Article2017

Forward deterministic pricing of options using Gaussian radial basis functions

Jamal Amani Rad · Lars Josef Höök · Elisabeth Larsson · Lina von Sydow

26 citations·0/0 files stored·Journal of Computational Science

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Stochastic processes and financial applications Mathematical functions and polynomials Numerical methods in engineering

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2003Monte Carlo Methods in Financial Engineering 2008Multilevel Monte Carlo Path Simulation 2004Arbitrage Theory in Continuous Time 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing

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Year2017

Typearticle

Published2017-05-28

VenueJournal of Computational Science

ISSN-L1877-7503

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jocs.2017.05.016

openalex_workW2620021488

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