Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503)
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scientific article; zbMATH DE number 6575432
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| English | Adaptive finite differences and IMEX time-stepping to price options under Bates model |
scientific article; zbMATH DE number 6575432 |
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Adaptive finite differences and IMEX time-stepping to price options under Bates model (English)
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29 April 2016
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option pricing
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numerical methods
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Bates model
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adaptive finite differences
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IMEX time-stepping
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0.861903965473175
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0.8604331016540527
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0.8516255021095276
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0.8409174084663391
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