ADI schemes for valuing European options under the Bates model

Karel J. in ’t Hout, Jari Toivanen

Type: Article

Publication Date: 2018-04-11

Citations: 23

DOI: https://doi.org/10.1016/j.apnum.2018.04.003

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Applied Numerical Mathematics - View
arXiv (Cornell University) - View - PDF
Institutional Repository University of Antwerp (University of Antwerp) - View - PDF

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