EUROPEAN OPTION VALUATION UNDER THE BATES PIDE IN FINANCE: A NUMERICAL IMPLEMENTATION OF THE GAUSSIAN SCHEME

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dc.contributor.authorSoleymani, Fazlollah
dc.contributor.authorAkgul, Ali
dc.date.accessioned2024-12-24T19:33:58Z
dc.date.available2024-12-24T19:33:58Z
dc.date.issued2020
dc.departmentSiirt Üniversitesi
dc.description.abstractModels 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.
dc.identifier.doi10.3934/dcdss.2020052
dc.identifier.endpage909
dc.identifier.issn1937-1632
dc.identifier.issn1937-1179
dc.identifier.issue3
dc.identifier.scopus2-s2.0-85078909374
dc.identifier.scopusqualityQ1
dc.identifier.startpage889
dc.identifier.urihttps://doi.org/10.3934/dcdss.2020052
dc.identifier.urihttps://hdl.handle.net/20.500.12604/8360
dc.identifier.volume13
dc.identifier.wosWOS:000502831800034
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherAmer Inst Mathematical Sciences-Aims
dc.relation.ispartofDiscrete and Continuous Dynamical Systems-Series S
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241222
dc.subjectJump-diffusion model
dc.subjectnonlocal integral
dc.subjectmethod of lines
dc.subjectMathematica
dc.subjectGaussian function
dc.titleEUROPEAN OPTION VALUATION UNDER THE BATES PIDE IN FINANCE: A NUMERICAL IMPLEMENTATION OF THE GAUSSIAN SCHEME
dc.typeArticle

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