Publication
Title
ADI schemes for valuing European options under the Bates model
Author
Abstract
This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model in finance. Three different adaptations are formulated and their (von Neumann) stability is analyzed. Ample numerical experiments are provided for the Bates PIDE, illustrating the actual stability and convergence behaviour of the three adaptations.
Language
English
Source (journal)
Applied numerical mathematics. - Amsterdam
Publication
Amsterdam : 2018
ISSN
0168-9274
Volume/pages
130(2018), p. 143-156
ISI
000432508200009
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Source file
Record
Identification
Creation 19.04.2018
Last edited 21.07.2021
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