A fast numerical method to price American options under the Bates model

DOI10.1016/j.camwa.2016.06.041zbMath1357.91051OpenAlexW2499179468MaRDI QIDQ516683

Liliana Cecere, Luca Vincenzo Ballestra

Publication date: 15 March 2017

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2016.06.041

zbMATH Keywords

pseudospectral methodoption pricingoperator splittingAmerican optionBates modelChebyshev approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

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Uses Software

• NMOF

Cites Work

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