Efficient hedging in Bates model using high-order compact finite differences
Computational Finance
2017-10-17 v1
Abstract
We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to standard finite difference methods in different examples. We observe that the new scheme outperforms a standard, second-order central finite difference approximation in all our experiments.
Keywords
Cite
@article{arxiv.1710.05542,
title = {Efficient hedging in Bates model using high-order compact finite differences},
author = {Bertram Düring and Alexander Pitkin},
journal= {arXiv preprint arXiv:1710.05542},
year = {2017}
}
Comments
9 pages, 7 figures