6533b834fe1ef96bd129e3b1
RESEARCH PRODUCT
ADI schemes for valuing European options under the Bates model
Karel J. In ’T HoutJari Toivanensubject
partial integro-differential equationsbates modelalternating direction implicit schemesstabilityoperator splitting methodsdescription
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. peerReviewed
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2018-01-01 |