A finite element discretization method for option pricing with the Bates model
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Publication:435146
DOI10.1007/BF03322591zbMath1242.91205arXiv0812.3083OpenAlexW2027269869MaRDI QIDQ435146
Publication date: 11 July 2012
Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0812.3083
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
Related Items (5)
Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps ⋮ The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach ⋮ A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump ⋮ A finite elements approach for spread contract valuation via associated two-dimensional PIDE ⋮ Adaptive finite differences and IMEX time-stepping to price options under Bates model
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