High-order time stepping scheme for pricing American option under Bates model (Q5031791)
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scientific article; zbMATH DE number 7474813
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-order time stepping scheme for pricing American option under Bates model |
scientific article; zbMATH DE number 7474813 |
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High-order time stepping scheme for pricing American option under Bates model (English)
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16 February 2022
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American options
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Bates model
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jump diffusion
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exponential time differencing
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strongly stable
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