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- W1995736194 abstract "This paper will demonstrate how European and American option prices can be computed under the jump-diffusion model using the radial basis function (RBF) interpolation scheme. The RBF interpolation scheme is demonstrated by solving an option pricing formula, a one-dimensional partial integro-differential equation (PIDE). We select the cubic spline radial basis function and adopt a simple numerical algorithm (Briani et al. in Calcolo 44:33–57, 2007) to establish a finite computational range for the improper integral of the PIDE. This algorithm reduces the truncation error of approximating the improper integral. As a result, we are able to achieve a higher approximation accuracy of the integral with the application of any quadrature. Moreover, we a numerical technique termed cubic spline factorisation (Bos and Salkauskas in J Approx Theory 51:81–88, 1987) to solve the inversion of an ill-conditioned RBF interpolant, which is a well-known research problem in the RBF field. Finally, our numerical experiments show that in the European case, our RBF-interpolation solution is second-order accurate for spatial variables, while in the American case, it is second-order accurate for spatial variables and first-order accurate for time variables." @default.
- W1995736194 created "2016-06-24" @default.
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- W1995736194 date "2013-12-08" @default.
- W1995736194 modified "2023-10-18" @default.
- W1995736194 title "Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme" @default.
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- W1995736194 doi "https://doi.org/10.1007/s11147-013-9095-3" @default.
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