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most citedA Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model

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q-fin.CP2010★ 6 cited

A Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model

Ron T. L. Chan, Simon Hubbert

The aim of this chapter is to show how option prices in jump-diffusion models can be computed using meshless methods based on Radial Basis Function (RBF) interpolation. The RBF tec…