ADI schemes for valuing European options under the Bates model

作者：in 't Hout Karel J^*; Toivanen Jan

来源：Applied Numerical Mathematics, 2018, 130: 143-156.

DOI：10.1016/j.apnum.2018.04.003

• Partial integro-differential equations
• Operator splitting methods
• Alternating direction implicit schemes
• Stability
• Bates model

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.

• 出版日期2018-8