Open AccessEuropean option valuation under the Bates PIDE in finance: A numerical implementation of the Gaussian scheme
Author(s) -
Fazlollah Soleymani,
Ali Akgül
Publication year - 2019
Publication title -
discrete and continuous dynamical systems - s
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.481
H-Index - 34
eISSN - 1937-1632
pISSN - 1937-1179
DOI - 10.3934/dcdss.2020052
Subject(s) - bates , jump diffusion , stochastic volatility , valuation of options , valuation (finance) , mathematics , gaussian , computer science , radial basis function , mathematical optimization , numerical analysis , volatility (finance) , jump , econometrics , economics , finance , mathematical analysis , artificial intelligence , engineering , physics , quantum mechanics , artificial neural network , aerospace engineering
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