A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump–diffusion models
Ali Ebrahimijahan, Mehdi Dehghan, Mostafa Abbaszadeh
Topics & Concepts
Jump diffusionMathematicsApplied mathematicsPartial differential equationCollocation (remote sensing)DiffusionJumpMathematical optimizationComputer scienceMathematical analysisQuantum mechanicsThermodynamicsPhysicsMachine learningDifferential Equations and Numerical MethodsStochastic processes and financial applicationsFractional Differential Equations Solutions