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A stable local radial basis function method for option pricing problem under the Bates model

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A stable local radial basis function method for option pricing problem under the Bates model

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dc.contributor.author Company Rossi, Rafael es_ES
dc.contributor.author Egorova, Vera N. es_ES
dc.contributor.author Jódar Sánchez, Lucas Antonio es_ES
dc.contributor.author Soleymani, Fazlollah es_ES
dc.date.accessioned 2020-07-17T03:32:14Z
dc.date.available 2020-07-17T03:32:14Z
dc.date.issued 2019-05 es_ES
dc.identifier.issn 0749-159X es_ES
dc.identifier.uri http://hdl.handle.net/10251/148187
dc.description.abstract [EN] We propose a local mesh-free method for the Bates¿Scott option pricing model, a 2D partial integro-differential equation (PIDE) arising in computational finance. A Wendland radial basis function (RBF) approach is used for the discretization of the spatial variables along with a linear interpolation technique for the integral operator. The resulting set of ordinary differential equations (ODEs) is tackled via a time integration method. A potential advantage of using RBFs is the small number of discrete equations that need to be solved. Computational experiments are presented to illustrate the performance of the contributed approach. es_ES
dc.description.sponsorship The authors (NS) acknowledges the support provided by the Secretaría de Estado de Investigación, Desarrollo e Innovación, MTM2017-89664-P. es_ES
dc.language Inglés es_ES
dc.publisher John Wiley & Sons es_ES
dc.relation.ispartof Numerical Methods for Partial Differential Equations es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Bates Scott model es_ES
dc.subject Option pricing es_ES
dc.subject Radial basis functions es_ES
dc.subject Stochastic volatility es_ES
dc.subject Wendland function es_ES
dc.subject.classification MATEMATICA APLICADA es_ES
dc.title A stable local radial basis function method for option pricing problem under the Bates model es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1002/num.22337 es_ES
dc.relation.projectID info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2017-89664-P/ES/PROBLEMAS DINAMICOS CON INCERTIDUMBRE SIMULABLE: MODELIZACION MATEMATICA, ANALISIS, COMPUTACION Y APLICACIONES/ es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada es_ES
dc.description.bibliographicCitation Company Rossi, R.; Egorova, VN.; Jódar Sánchez, LA.; Soleymani, F. (2019). A stable local radial basis function method for option pricing problem under the Bates model. Numerical Methods for Partial Differential Equations. 35(3):1035-1055. https://doi.org/10.1002/num.22337 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1002/num.22337 es_ES
dc.description.upvformatpinicio 1035 es_ES
dc.description.upvformatpfin 1055 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 35 es_ES
dc.description.issue 3 es_ES
dc.relation.pasarela S\374189 es_ES
dc.contributor.funder Agencia Estatal de Investigación es_ES
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