Option pricing under the Bates model using the discontinuous Galerkin method
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Published:2022
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ISSN:0094-243X
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Container-title:“TOPICAL ISSUES OF THERMOPHYSICS, ENERGETICS AND HYDROGASDYNAMICS IN THE ARCTIC CONDITIONS”: Dedicated to the 85th Birthday Anniversary of Professor E. A. Bondarev
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Author:
Hozman Jiří,Tichý Tomáš
Reference19 articles.
1. The Pricing of Options and Corporate Liabilities
2. Theory of Rational Option Pricing
3. L. Bergomi, Stochastic Volatility Modeling (Chapman and Hall/CRC, Boca Raton, 2016).
4. R. Cont and P. Tankov, Financial Modelling with Jump Processes (Chapman & Hall/CRC press, Boca Raton, 2004).
5. J. Hozman and T. Tichý, “A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility,” in AMEE ’16, AIP Conf. Proc No. 1789, edited by V. Pasheva, N. Popivanov, and G. Venkov (American Institute of Physics, Melville, NY, 2016) p. 030003.