Adaptive finite differences and IMEX time-stepping to price options under Bates model
Adaptive finite differences and IMEX time-stepping to price options under Bates model
In this paper, we consider numerical pricing of European and American options under the Bates model, a model which gives rise to a partial-integro differential equation. This equation is discretized in space using adaptive finite differences while an IMEX scheme is employed in time. The sparse linear systems of equations …