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Adaptive finite differences and IMEX time-stepping to price options under Bates model.

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Title: Adaptive finite differences and IMEX time-stepping to price options under Bates model.
Authors: von Sydow, L.1, lina@it.uu.se, Toivanen, J.2,3, Zhang, C.1
Source: International Journal of Computer Mathematics; Dec2015, Vol. 92 Issue 12, p2515-2529, 15p
Database: Applied Science & Technology Source
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Header DbId: aci
DbLabel: Applied Science & Technology Source
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        Value: 10.1080/00207160.2015.1072173
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      – Code: eng
        Text: English
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        PageCount: 15
        StartPage: 2515
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      – TitleFull: Adaptive finite differences and IMEX time-stepping to price options under Bates model.
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              Text: Dec2015
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