ADI schemes for valuing European options under the Bates model
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Publication:1748427
DOI10.1016/j.apnum.2018.04.003zbMath1390.91327arXiv1712.06680OpenAlexW2963987591WikidataQ110865226 ScholiaQ110865226MaRDI QIDQ1748427
Jari Toivanen, Karel J. in 't Hout
Publication date: 11 May 2018
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.06680
stabilityalternating direction implicit schemespartial integro-differential equationsBates modeloperator splitting methods
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)
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