Radial basis function based approximation methods for basket option pricing
کد مقاله : 1157-FEMATH (R1)
علی صفدری *
هیات علمی
چکیده مقاله:
‎Basically two different but mathematically‎n‎equivalent approaches may be distinguished for options pricing in a pure diffusion setup‎: ‎the probabilistic‎n‎approach and the partial differential equation (PDE) approach‎.n‎The presence of a‎n‎jump term in the price process of the asset leads to the partial integro differential‎n‎equation (PIDEs)‎, ‎which is an extension of the Black Scholes PDE‎n‎with an additional integral term‎.n‎In many cases‎, ‎however‎, ‎an explicit closed-form valuation of options in jump‎n‎diffusions is not possible and one is restricted to numerical procedures‎.n‎The aim is to show how option prices in the jump diffusion models‎, ‎mainly on the Merton‎n‎and Kou models‎, ‎can be computed using meshless methods based on radial basis function‎.n‎We would like to investigate the RBF PU for numerical solution of partial integro differential‎n‎equation arising form the multi asset European vanilla call put options based on jump diffusion models‎. g g
کلیدواژه ها:
basket option pricing‎, ‎jump-diffusion models‎, ‎radial basis function‎
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