ADI schemes for valuing European options under the Bates model (Q1748427)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: ADI schemes for valuing European options under the Bates model |
scientific article; zbMATH DE number 6867628
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | ADI schemes for valuing European options under the Bates model |
scientific article; zbMATH DE number 6867628 |
Statements
ADI schemes for valuing European options under the Bates model (English)
0 references
11 May 2018
0 references
partial integro-differential equations
0 references
operator splitting methods
0 references
alternating direction implicit schemes
0 references
stability
0 references
Bates model
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.9022981
0 references
0.88805425
0 references
0.87998265
0 references
0 references
0.8669037
0 references
0.8663402
0 references
0.8583076
0 references
0 references
0.8572625
0 references
