EUROPEAN OPTION VALUATION UNDER THE BATES PIDE IN FINANCE: A NUMERICAL IMPLEMENTATION OF THE GAUSSIAN SCHEME
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Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Amer Inst Mathematical Sciences-Aims
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Models at which not only the asset price but also the volatility are assumed to be stochastic have received a remarkable attention in financial markets. The objective of the current research is to design a numerical method for solving the stochastic volatility (SV) jump-diffusion model of Bates, at which the presence of a nonlocal integral makes the coding of numerical schemes intensive. A numerical implementation is furnished by gathering several different techniques such as the radial basis function (RBF) generated finite difference (FD) approach, which keeps the sparsity of the FD methods but gives rise to the higher accuracy of the RBF meshless methods. Computational experiments are worked out to reveal the efficacy of the new procedure.
Açıklama
Anahtar Kelimeler
Jump-diffusion model, nonlocal integral, method of lines, Mathematica, Gaussian function
Kaynak
Discrete and Continuous Dynamical Systems-Series S
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
13
Sayı
3
