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

Lina von Sydow Jari Toivanen C. Zhang

Published in: Int. J. Comput. Math. (2015)

Keyphrases

computational model
experimental data
probabilistic model
neural network
linear model
conceptual model
statistically significant
high level
markov random field
input data
probability distribution
prior knowledge
similarity measure
sensitivity analysis
formal model
network model
data sets