activity
20102022
most citedA Numerical Study of Radial Basis Function Based Methods for Options Pricing under the One Dimension Jump-diffusion Model

6 citations · 9 across the 6 of their papers we have counts for

collaborators
Showing 2010Show all

1 paper · 1 filter

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…