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This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model… Click to show full abstract
This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model in finance. Three different adaptations are formulated and their (von Neumann) stability is analyzed. Ample numerical experiments are provided for the Bates PIDE, illustrating the actual stability and convergence behaviour of the three adaptations.
Keywords:
european options;
valuing european;
adi schemes;
schemes valuing;
options bates;
bates model
Journal Title: Applied Numerical Mathematics
Year Published: 2018
Link to full text (if available)
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Journal Title: Applied Numerical Mathematics
Year Published: 2018
Link to full text (if available)
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recommendations!