| dc.contributor.author | Company Rossi, Rafael | |
| dc.contributor.author | Egorova, Vera | |
| dc.contributor.author | Jódar Sánchez, Lucas | |
| dc.contributor.author | Soleymani, Fazlollah | |
| dc.date.accessioned | 2020-02-05T13:34:58Z | |
| dc.date.available | 2020-05-31T02:45:16Z | |
| dc.date.issued | 2019-05 | |
| dc.identifier.issn | 0749-159X | |
| dc.identifier.issn | 1098-2426 | |
| dc.identifier.other | MTM2017-89664-P | es_ES |
| dc.identifier.uri | http://hdl.handle.net/10902/18094 | |
| dc.description.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. | es_ES |
| dc.description.sponsorship | 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. | es_ES |
| dc.format.extent | 19 p. | es_ES |
| dc.language.iso | eng | es_ES |
| dc.publisher | John Wiley & Sons | es_ES |
| dc.rights | © John Wiley & Sons. This is the peer reviewed version of the following article: Company, R, Egorova, VN, Jódar, L, Soleymani, F. A stable local radial basis function method for option pricing problem under the Bates model. Numer Methods Partial Differential Eq. 2018; 35(3), 1035-1055, doi.org/10.1002/num.22337, which has been published in final form at https://doi.org/10.1002/num.22337. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. | es_ES |
| dc.source | Numerical Methods for Partial Differential Equations, 2019, 35(3), 1035-1055 | es_ES |
| dc.subject.other | Bates–Scott model | es_ES |
| dc.subject.other | Option pricing | es_ES |
| dc.subject.other | Radial basis functions | es_ES |
| dc.subject.other | Stochastic volatility | es_ES |
| dc.subject.other | Wendland function | es_ES |
| dc.title | A stable local radial basis function method for option pricing problem under the Bates model | es_ES |
| dc.type | info:eu-repo/semantics/article | es_ES |
| dc.relation.publisherVersion | https://doi.org/10.1002/num.22337 | es_ES |
| dc.rights.accessRights | openAccess | es_ES |
| dc.identifier.DOI | 10.1002/num.22337 | |
| dc.type.version | acceptedVersion | es_ES |
