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- W2753093903 abstract "The aim of this paper is to construct a reliable and efficient finite difference scheme for American option pricing under Bates model. First, we transform the associated partial-integro differential equation for this model into another suitable one without the cross derivative. Thereafter, a finite difference discretization has been used for the partial derivatives while the integral part is discretized using the four-points open type formula. The obtained finite difference scheme is solved using PSOR method. Several examples are included showing the advantage of the proposed approach." @default.
- W2753093903 created "2017-09-15" @default.
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- W2753093903 date "2016-01-01" @default.
- W2753093903 modified "2023-09-27" @default.
- W2753093903 title "Numerical Solution of Partial Integro-Differential Option Pricing Models with Cross Derivative Term" @default.
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- W2753093903 doi "https://doi.org/10.1007/978-3-319-23413-7_15" @default.
- W2753093903 hasPublicationYear "2016" @default.
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