• شماره ركورد كنفرانس
    4857
  • عنوان مقاله

    Valuation of multi-asset option under jump-diffusion process using meshfree moving least squares method

  • پديدآورندگان

    Shirzadi Mohammad Amirkabir University of Technology , Dehghan Mehdi Amirkabir University of Technology , Foroush Bastani Ali Institute for Advanced Studies in Basic Sciences

  • تعداد صفحه
    4
  • كليدواژه
    Multi , asset option pricing , Jump , diffusion models , Partial integro , di erential equations.
  • سال انتشار
    1397
  • عنوان كنفرانس
    پنجمين كنفرانس ملي مهندسي مالي و بيم سنجي
  • زبان مدرك
    انگليسي
  • چكيده فارسي
    The aim of this article is to develop a meshfree moving least squares collocation method in con- junction with implicit-explicit temporal discretization to numerically solving partial integro-di erential equations arising from the valuation of multi-asset options when underlying price processes are modeled by the exponential L evy process.
  • كشور
    ايران