scientific article

zbMATH Open1389.91132MaRDI QIDQ3132190

Youfa Sun, Lutao Ding

Publication date: 29 January 2018

Title of this publication is not available (Why is that?)

zbMATH Keywords

American option pricingfinite difference schemeconvolution integralFourier transformationBates modelhigh-order compact schemeNumerov discretization

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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items (4)

Compact finite difference method for American option pricing ⋮ Efficient hedging in Bates model using high-order compact finite differences ⋮ Title not available (Why is that?) ⋮ A fast numerical method to price American options under the Bates model

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