ADI schemes for valuing European options under the Bates model
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DOI: 10.1016/j.apnum.2018.04.003
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… read more here.
Keywords: european options; valuing european; adi schemes; schemes valuing ... See more keywords