A fast numerical method to price American options under the Bates model (Q516683)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A fast numerical method to price American options under the Bates model |
scientific article; zbMATH DE number 6694936
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast numerical method to price American options under the Bates model |
scientific article; zbMATH DE number 6694936 |
Statements
A fast numerical method to price American options under the Bates model (English)
0 references
15 March 2017
0 references
option pricing
0 references
Bates model
0 references
Chebyshev approximation
0 references
operator splitting
0 references
American option
0 references
pseudospectral method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.93277323
0 references
0 references
0.9185115
0 references
0.9128696
0 references
0.9119777
0 references
0.9087966
0 references
0 references
