EUROPEAN OPTION VALUATION UNDER THE BATES PIDE IN FINANCE: A NUMERICAL IMPLEMENTATION OF THE GAUSSIAN SCHEME
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Date
2020
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Amer Inst Mathematical Sciences-Aims
Access Rights
info:eu-repo/semantics/openAccess
Abstract
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.
Description
Keywords
Jump-diffusion model, nonlocal integral, method of lines, Mathematica, Gaussian function
Journal or Series
Discrete and Continuous Dynamical Systems-Series S
WoS Q Value
Q1
Scopus Q Value
Q1
Volume
13
Issue
3
