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 ...
Company Rossi, Rafael; Jódar Sánchez, Lucas Antonio; El-Fakharany, Mohamed; Casabán Bartual, Mª Consuelo(Hindawi Publishing Corporation, 2013-05)
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, twodimensional
convection-diffusion reaction equation. Firstly, the mixed spatial derivative ...