Adaptive finite differences and IMEX time-stepping to price options under Bates model
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Publication:2804503
DOI10.1080/00207160.2015.1072173zbMath1386.91170OpenAlexW2133435652WikidataQ110234082 ScholiaQ110234082MaRDI QIDQ2804503
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Publication date: 29 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-262065
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)
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