{"id":"https://openalex.org/W1820400330","doi":"https://doi.org/10.1080/00207160.2015.1061125","title":"A meshless method for Asian style options pricing under the Merton jump-diffusion model","display_name":"A meshless method for Asian style options pricing under the Merton jump-diffusion model","publication_year":2015,"publication_date":"2015-07-02","ids":{"openalex":"https://openalex.org/W1820400330","doi":"https://doi.org/10.1080/00207160.2015.1061125","mag":"1820400330"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2015.1061125","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2015.1061125","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5091444192","display_name":"Aslam Aly El Faidal Saib","orcid":"https://orcid.org/0000-0001-7920-8645"},"institutions":[{"id":"https://openalex.org/I56592726","display_name":"University of Technology, Mauritius","ror":"https://ror.org/030111688","country_code":"MU","type":"education","lineage":["https://openalex.org/I56592726"]}],"countries":["MU"],"is_corresponding":false,"raw_author_name":"A.A.E.F. Saib","raw_affiliation_strings":["Department of Applied Mathematical Sciences, University of Technology, La Tour Koenig, Pointe-aux-Sables, Mauritius","Department of Applied Mathematical Sciences, University of Technology, La Tour Koenig, Pointe-aux-Sables, Mauritius#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematical Sciences, University of Technology, La Tour Koenig, Pointe-aux-Sables, Mauritius","institution_ids":["https://openalex.org/I56592726"]},{"raw_affiliation_string":"Department of Applied Mathematical Sciences, University of Technology, La Tour Koenig, Pointe-aux-Sables, Mauritius#TAB#","institution_ids":["https://openalex.org/I56592726"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082800731","display_name":"Mohammad Sameer Sunhaloo","orcid":null},"institutions":[{"id":"https://openalex.org/I56592726","display_name":"University of Technology, Mauritius","ror":"https://ror.org/030111688","country_code":"MU","type":"education","lineage":["https://openalex.org/I56592726"]}],"countries":["MU"],"is_corresponding":false,"raw_author_name":"M.S. Sunhaloo","raw_affiliation_strings":["Department of Applied Mathematical Sciences, University of Technology, La Tour Koenig, Pointe-aux-Sables, Mauritius","Department of Applied Mathematical Sciences, University of Technology, La Tour Koenig, Pointe-aux-Sables, Mauritius#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematical Sciences, University of Technology, La Tour Koenig, Pointe-aux-Sables, Mauritius","institution_ids":["https://openalex.org/I56592726"]},{"raw_affiliation_string":"Department of Applied Mathematical Sciences, University of Technology, La Tour Koenig, Pointe-aux-Sables, Mauritius#TAB#","institution_ids":["https://openalex.org/I56592726"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5024568720","display_name":"Muddun Bhuruth","orcid":"https://orcid.org/0000-0003-4233-9937"},"institutions":[{"id":"https://openalex.org/I69072986","display_name":"University of Mauritius","ror":"https://ror.org/05cyprz33","country_code":"MU","type":"education","lineage":["https://openalex.org/I69072986"]}],"countries":["MU"],"is_corresponding":true,"raw_author_name":"M. Bhuruth","raw_affiliation_strings":["Department of Mathematics, University of Mauritius, R\u00e9duit, Mauritius","Department of Mathematics, University of Mauritius, Reduit, Mauritius#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Mauritius, R\u00e9duit, Mauritius","institution_ids":["https://openalex.org/I69072986"]},{"raw_affiliation_string":"Department of Mathematics, University of Mauritius, Reduit, Mauritius#TAB#","institution_ids":["https://openalex.org/I69072986"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5024568720"],"corresponding_institution_ids":["https://openalex.org/I69072986"],"apc_list":null,"apc_paid":null,"fwci":1.428,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.8400503,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"92","issue":"12","first_page":"2498","last_page":"2514"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9907000064849854,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9815999865531921,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.7582722902297974},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6449928283691406},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.5913342833518982},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.5883995890617371},{"id":"https://openalex.org/keywords/quadrature","display_name":"Quadrature (astronomy)","score":0.5833336114883423},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5808582901954651},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.5742875337600708},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.5298901200294495},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.49569427967071533},{"id":"https://openalex.org/keywords/finite-difference-methods-for-option-pricing","display_name":"Finite difference methods for option pricing","score":0.4913310110569},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.4364805817604065},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.41277748346328735},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.36693039536476135},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.2870490550994873},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.17293411493301392},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08094003796577454}],"concepts":[{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.7582722902297974},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6449928283691406},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.5913342833518982},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.5883995890617371},{"id":"https://openalex.org/C62869609","wikidata":"https://www.wikidata.org/wiki/Q28137","display_name":"Quadrature (astronomy)","level":2,"score":0.5833336114883423},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5808582901954651},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.5742875337600708},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.5298901200294495},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.49569427967071533},{"id":"https://openalex.org/C104859751","wikidata":"https://www.wikidata.org/wiki/Q5450390","display_name":"Finite difference methods for option pricing","level":4,"score":0.4913310110569},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.4364805817604065},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.41277748346328735},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.36693039536476135},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.2870490550994873},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.17293411493301392},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08094003796577454},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C119599485","wikidata":"https://www.wikidata.org/wiki/Q43035","display_name":"Electrical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/00207160.2015.1061125","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2015.1061125","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":54,"referenced_works":["https://openalex.org/W104688703","https://openalex.org/W109754632","https://openalex.org/W121488158","https://openalex.org/W1490180844","https://openalex.org/W1499969990","https://openalex.org/W1508589451","https://openalex.org/W1554321485","https://openalex.org/W1562738017","https://openalex.org/W1964029991","https://openalex.org/W1973458764","https://openalex.org/W1974400531","https://openalex.org/W1974518415","https://openalex.org/W1974965303","https://openalex.org/W1977880298","https://openalex.org/W1980508838","https://openalex.org/W1982181315","https://openalex.org/W1983042782","https://openalex.org/W1984123162","https://openalex.org/W1995736194","https://openalex.org/W2014393474","https://openalex.org/W2014783034","https://openalex.org/W2030828704","https://openalex.org/W2032887086","https://openalex.org/W2045769731","https://openalex.org/W2049161806","https://openalex.org/W2057372469","https://openalex.org/W2059469232","https://openalex.org/W2060075039","https://openalex.org/W2061328138","https://openalex.org/W2061724927","https://openalex.org/W2077791698","https://openalex.org/W2077993476","https://openalex.org/W2079967486","https://openalex.org/W2084759080","https://openalex.org/W2086551551","https://openalex.org/W2088394426","https://openalex.org/W2094562251","https://openalex.org/W2095769364","https://openalex.org/W2104170326","https://openalex.org/W2115294886","https://openalex.org/W2115800378","https://openalex.org/W2125788014","https://openalex.org/W2127041467","https://openalex.org/W2132868646","https://openalex.org/W2137046381","https://openalex.org/W2151065060","https://openalex.org/W2160431995","https://openalex.org/W2368861806","https://openalex.org/W2430161806","https://openalex.org/W2466826444","https://openalex.org/W2760840285","https://openalex.org/W3124353841","https://openalex.org/W4230835142","https://openalex.org/W4300181573"],"related_works":["https://openalex.org/W3201761445","https://openalex.org/W2909024759","https://openalex.org/W2461214794","https://openalex.org/W2562435088","https://openalex.org/W3183442954","https://openalex.org/W2752025792","https://openalex.org/W2902898608","https://openalex.org/W2968586561","https://openalex.org/W3161176953","https://openalex.org/W2483316594"],"abstract_inverted_index":{"In":[0],"this":[1],"paper,":[2,81],"we":[3,82],"consider":[4],"the":[5,20,29,39,45,53,65,75,80,85,93,102,105],"partial":[6],"integro-differential":[7],"equation":[8],"arising":[9],"when":[10],"a":[11,14],"stock":[12],"follows":[13],"Poisson":[15],"distributed":[16],"jump":[17],"process,":[18],"for":[19,37,92],"pricing":[21,94],"of":[22,28,95],"Asian":[23,98],"options.":[24],"We":[25,59],"make":[26],"use":[27],"meshless":[30],"radial":[31],"basis":[32],"functions":[33],"with":[34,64],"differential":[35],"quadrature":[36],"approximating":[38],"spatial":[40],"derivatives":[41],"and":[42,104],"demonstrate":[43],"that":[44],"algorithm":[46],"performs":[47],"effectively":[48],"well":[49],"as":[50],"compared":[51],"to":[52,70],"commonly":[54],"employed":[55,91],"finite":[56],"difference":[57],"approximations.":[58],"also":[60],"employ":[61],"Strang":[62],"splitting":[63],"exponential":[66],"time":[67],"integration":[68],"technique":[69],"improve":[71],"temporal":[72],"efficiency.":[73],"Throughout":[74],"numerical":[76],"experiments":[77],"covered":[78],"in":[79],"show":[83],"how":[84],"proposed":[86],"scheme":[87],"can":[88],"be":[89],"efficiently":[90],"American":[96],"style":[97],"options":[99],"under":[100],"both":[101],"Black\u2013Scholes":[103],"Merton":[106],"jump-diffusion":[107],"models.":[108]},"counts_by_year":[{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}