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Listar por palabra clave "Bates Scott model"

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

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Soleymani, Fazlollah (John Wiley & Sons, 2019-05)

[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 ...

Mostrando ítems 1-1 de 1