@article{10902/18094,
year = {2019},
month = {5},
url = {http://hdl.handle.net/10902/18094},
abstract = {We propose a local mesh-free method for the Bates-Scott option pricing model, a 2D partial integro-differential equation (PIDE) arising in computational finance. A Wendland radial basis function (RBF) approach is used for the discretization of the spatial variables along with a linear interpolation technique for the integral operator. The resulting set of ordinary differential equations (ODEs) is tackled via a time integration method. A potential advantage of using RBFs is the small number of discrete equations that need to be solved. Computational experiments are presented to illustrate the performance of the contributed approach.},
organization = {This work has partially been supported by the Ministerio de Economía y Competitividad Spanish grant MTM2017‐89664‐P. The authors are grateful to a number of corrections and comments made by two referees which helped improve this paper.},
publisher = {John Wiley & Sons},
publisher = {Numerical Methods for Partial Differential Equations, 2019, 35(3), 1035-1055},
title = {A stable local radial basis function method for option pricing problem under the Bates model},
author = {Company Rossi, Rafael and Egorova, Vera and Jódar Sánchez, Lucas and Soleymani, Fazlollah},
}