A fast numerical method to price American options under the Bates model (Q516683)
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scientific article; zbMATH DE number 6694936
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| English | A fast numerical method to price American options under the Bates model |
scientific article; zbMATH DE number 6694936 |
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A fast numerical method to price American options under the Bates model (English)
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15 March 2017
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option pricing
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Bates model
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Chebyshev approximation
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operator splitting
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American option
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pseudospectral method
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0.93277323
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0.9185115
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0.9119777
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0.9071528
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