A1 Journal article (refereed)
Adaptive finite differences and IMEX time-stepping to price options under Bates model (2015)
von Sydow, L., Toivanen, J., & Zhang, C. (2015). Adaptive finite differences and IMEX time-stepping to price options under Bates model. International Journal of Computer Mathematics, 92(12), 2515-2529. https://doi.org/10.1080/00207160.2015.1072173
JYU authors or editors
Publication details
All authors or editors: von Sydow, L.; Toivanen, Jari; Zhang, C.
Journal or series: International Journal of Computer Mathematics
ISSN: 0020-7160
eISSN: 1026-7425
Publication year: 2015
Volume: 92
Issue number: 12
Pages range: 2515-2529
Publisher: Taylor & Francis
Publication country: United Kingdom
Publication language: English
DOI: https://doi.org/10.1080/00207160.2015.1072173
Publication open access: Not open
Publication channel open access:
Additional information: Special Issue: Computational Methods in Finance.
Keywords: numerical methods
Free keywords: adaptive finite differences; Bates model; IMEXtime-stepping; option pricing
Contributing organizations
Ministry reporting: Yes
Reporting Year: 2015
JUFO rating: 1