Efficient hedging in Bates model using high-order compact finite differences

DOI10.1007/978-3-319-99719-3_44zbMath1417.65151arXiv1710.05542OpenAlexW2765619118MaRDI QIDQ2417141

Alexander Pitkin, Bertram Düring

Publication date: 11 June 2019

Full work available at URL: https://arxiv.org/abs/1710.05542

zbMATH Keywords

hedgingoption pricingBates modelhigh-order compact finite differencesstochastic volatility jump model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

This page was built for publication: Efficient hedging in Bates model using high-order compact finite differences