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On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation.
Mohammad Shirzadi
Mehdi Dehghan
Ali Foroush Bastani
Published in:
Commun. Nonlinear Sci. Numer. Simul. (2020)
Keyphrases
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diffusion processes
least squares
diffusion process
option pricing
partial differential equations
numerical methods
denoising
black scholes model
information diffusion
financial markets
scale spaces
edge preserving
anisotropic diffusion
diffusion tensor
high resolution
optical flow
object recognition