A componentwise splitting method for pricing American options under the Bates model
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Integro-differential operators (47G20) Finite difference methods for boundary value problems involving PDEs (65N06) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites work
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- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- Computational Methods for Option Pricing
- Efficient numerical methods for pricing American options under stochastic volatility
- Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
- Finite element solution of diffusion problems with irregular data
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Cited in
(18)- An efficient method for solving spread option pricing problem: numerical analysis and computing
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- ADI schemes for valuing European options under the Bates model
- Numerical simulation of reaction-diffusion neural dynamics models and their synchronization/desynchronization: application to epileptic seizures
- A quick operator splitting method for option pricing
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- An improved method for pricing and hedging long dated American options
- scientific article; zbMATH DE number 5346999 (Why is no real title available?)
- A finite element discretization method for option pricing with the Bates model
- LSV models with stochastic interest rates and correlated jumps
- High-order time stepping scheme for pricing American option under bates model
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
- Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
- A fast numerical method to price American options under the Bates model
- Numerical stability of a hybrid method for pricing options
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
- Deep neural networks for probability of default modelling
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