Optimal uniform error estimates for moving least‐squares collocation with application to option pricing under jump‐diffusion processes

2020 ◽  
Vol 37 (1) ◽  
pp. 98-117
Author(s):  
Mohammad Shirzadi ◽  
Mehdi Dehghan ◽  
Ali Foroush Bastani
Keyword(s):  
Option Pricing ◽  
Least Squares ◽  
Error Estimates ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Moving Least Squares ◽  
Least Squares Collocation ◽  
Uniform Error ◽  
Jump Diffusion Processes ◽  
Uniform Error Estimates

scholarly journals APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING

2006 ◽  
Vol 16 (1) ◽  
pp. 21-52 ◽  
Author(s):  
Jin-Chuan Duan ◽  
Peter Ritchken ◽  
Zhiqiang Sun
Keyword(s):  
Option Pricing ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Jump Diffusion Processes
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