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
كليدواژه :
Multi , asset option pricing , Jump , diffusion models , Partial integro , di erential equations.
عنوان كنفرانس :
پنجمين كنفرانس ملي مهندسي مالي و بيم سنجي
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.
