| dc.contributor.author | Hout, Karel J. in ’t | |
| dc.contributor.author | Toivanen, Jari | |
| dc.date.accessioned | 2018-04-18T07:11:12Z | |
| dc.date.available | 2020-09-01T21:35:10Z | |
| dc.date.issued | 2018 | |
| dc.identifier.citation | Hout, K. J. I. ’., & Toivanen, J. (2018). ADI schemes for valuing European options under the Bates model. <i>Applied Numerical Mathematics</i>, <i>130</i>, 143-156. <a href="https://doi.org/10.1016/j.apnum.2018.04.003" target="_blank">https://doi.org/10.1016/j.apnum.2018.04.003</a> | |
| dc.identifier.other | CONVID_27998490 | |
| dc.identifier.other | TUTKAID_77347 | |
| dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/57667 | |
| dc.description.abstract | This paper is concerned with the adaptation of alternating direction implicit (ADI) time discretization schemes for the numerical solution of partial integro-differential equations (PIDEs) with application to the Bates model in finance. Three different adaptations are formulated and their (von Neumann) stability is analyzed. Ample numerical experiments are provided for the Bates PIDE, illustrating the actual stability and convergence behaviour of the three adaptations. | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | eng | |
| dc.publisher | Elsevier BV | |
| dc.relation.ispartofseries | Applied Numerical Mathematics | |
| dc.subject.other | partial integro-differential equations | |
| dc.subject.other | operator splitting methods | |
| dc.subject.other | alternating direction implicit schemes | |
| dc.subject.other | stability | |
| dc.subject.other | bates model | |
| dc.title | ADI schemes for valuing European options under the Bates model | |
| dc.type | article | |
| dc.identifier.urn | URN:NBN:fi:jyu-201804172102 | |
| dc.contributor.laitos | Informaatioteknologian tiedekunta | fi |
| dc.contributor.laitos | Faculty of Information Technology | en |
| dc.contributor.oppiaine | Tietotekniikka | fi |
| dc.contributor.oppiaine | Mathematical Information Technology | en |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
| dc.date.updated | 2018-04-17T12:15:07Z | |
| dc.description.reviewstatus | peerReviewed | |
| dc.format.pagerange | 143-156 | |
| dc.relation.issn | 0168-9274 | |
| dc.relation.numberinseries | 0 | |
| dc.relation.volume | 130 | |
| dc.type.version | acceptedVersion | |
| dc.rights.copyright | © Elsevier Ltd, 2018. This is a final draft version of an article whose final and definitive form has been published by Elsevier BV. Published in this repository with the kind permission of the publisher. | |
| dc.rights.accesslevel | openAccess | fi |
| dc.format.content | fulltext | |
| dc.relation.doi | 10.1016/j.apnum.2018.04.003 | |
