دانلود مقاله ISI انگلیسی شماره 99543
عنوان انگلیسی
ADI schemes for valuing European options under the Bates model
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
99543 2018 22 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Applied Numerical Mathematics, Volume 130, August 2018, Pages 143-156

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چکیده انگلیسی

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.