ADI schemes for valuing European options under the Bates model (Q1748427)
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scientific article
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | ADI schemes for valuing European options under the Bates model |
scientific article |
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ADI schemes for valuing European options under the Bates model (English)
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11 May 2018
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partial integro-differential equations
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operator splitting methods
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alternating direction implicit schemes
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stability
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Bates model
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0.9022981
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0.88805425
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0.87998265
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0.8669037
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0.8663402
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0.8583076
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0.8572625
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