High-order time stepping scheme for pricing American option under Bates model
DOI10.1080/00207160.2017.1420785zbMath1499.65450OpenAlexW2791950136MaRDI QIDQ5031791
Publication date: 16 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2017.1420785
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) Parallel numerical computation (65Y05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite difference methods for boundary value problems involving PDEs (65N06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Complexity and performance of numerical algorithms (65Y20)
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