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RBF-PU method for pricing options under the jump-diffusion model with local volatility.

Reza MollapouraslAli FereshtianHengguang LiXun Lu
Published in: J. Comput. Appl. Math. (2018)
Keyphrases
  • diffusion model
  • pairwise
  • artificial neural networks
  • markov chain
  • state space
  • support vector machine
  • basis functions