High-order time stepping scheme for pricing American option under bates model (Q5031791)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7474813
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | High-order time stepping scheme for pricing American option under bates model |
scientific article; zbMATH DE number 7474813 |
Statements
High-order time stepping scheme for pricing American option under Bates model (English)
0 references
16 February 2022
0 references
American options
0 references
Bates model
0 references
jump diffusion
0 references
exponential time differencing
0 references
strongly stable
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.861903965473175
0 references
0.8411262631416321
0 references
0.8404649496078491
0 references
0.8267350792884827
0 references
0.8056544065475464
0 references
