European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342)
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scientific article; zbMATH DE number 7200478
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| English | European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme |
scientific article; zbMATH DE number 7200478 |
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European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (English)
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13 May 2020
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jump-diffusion model
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nonlocal integral
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method of lines
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Mathematica
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Gaussian function
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0.88805425
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0.8869487
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0.87825185
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0.8772489
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0.8747008
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0.87294847
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0.8701725
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0.8700064
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0.86994547
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