High-Order Compact Finite Difference Scheme for Pricing American Options Under the Bates Model

SUN Youfa, DING Lutao

Journal of Systems Science and Mathematical Sciences ›› 2017, Vol. 37 ›› Issue (2) : 425-435.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science and Mathematical Sciences ›› 2017, Vol. 37 ›› Issue (2) : 425-435. DOI: 10.12341/jssms13073

High-Order Compact Finite Difference Scheme for Pricing American Options Under the Bates Model

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2017, 37(2): 425-435 https://doi.org/10.12341/jssms13073

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