Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Aslam Aly El Faidal Saib"'
Autor:
Omishwary Bhatoo, Désiré Yannick Tangman, Aslam Aly El Faidal Saib, Eitan Tadmor, Arshad Ahmud Iqbal Peer
Publikováno v:
Vietnam Journal of Mathematics. 47:813-833
In this paper, we propose the application of third-order semi-discrete central-upwind conservative schemes to option pricing partial differential equations (PDEs). Our method is a high-order extension of the recent efficient second-order “Black-Box
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e39a8fe43b63099e67edf89366ddfe7f
https://doi.org/10.1007/s10013-019-00360-8
https://doi.org/10.1007/s10013-019-00360-8
Autor:
Omishwary Bhatoo, Arshad Ahmud Iqbal Peer, Eitan Tadmor, Desire Yannick Tangman, Aslam Aly El Faidal Saib
Publikováno v:
Journal of Computational Finance. 22:71-101
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fb2fc88a59d82fe2324978648f30d0ba
https://doi.org/10.21314/jcf.2019.363
https://doi.org/10.21314/jcf.2019.363
Publikováno v:
International Journal of Computer Mathematics. 92:2498-2514
In this paper, we consider the partial integro-differential equation arising when a stock follows a Poisson distributed jump process, for the pricing of Asian options. We make use of the meshless radial basis functions with differential quadrature fo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::68b4bca1168b197e69735dbf583cbc25
https://doi.org/10.1080/00207160.2015.1061125
https://doi.org/10.1080/00207160.2015.1061125
A new radial basis functions method for pricing American options under Merton's jump-diffusion model
Publikováno v:
International Journal of Computer Mathematics. 89:1164-1185
A new radial basis functions RBFs algorithm for pricing financial options under Merton's jump-diffusion model is described. The method is based on a differential quadrature approach, that allows the implementation of the boundary conditions in an eff
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8b0e853a6ee95593668b1fc509ccf9b9
https://doi.org/10.1080/00207160.2012.690034
https://doi.org/10.1080/00207160.2012.690034
Publikováno v:
Scopus-Elsevier
Arshad Peer
Lecture Notes in Computer Science ISBN: 9783642396397
ICCSA (5)
Web of Science
Arshad Peer
Lecture Notes in Computer Science ISBN: 9783642396397
ICCSA (5)
Web of Science
Exponential Levy option pricing models are capable of explaining the jump patterns and the leptokurtic features of market option prices and the Merton model with normally distributed jump sizes is one such model which has been much considered in the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7efd7ab87f14c4fc2f9e5b5210c626de
http://www.scopus.com/inward/record.url?eid=2-s2.0-84880758749&partnerID=MN8TOARS
http://www.scopus.com/inward/record.url?eid=2-s2.0-84880758749&partnerID=MN8TOARS
