Efficient hedging in Bates model using high-order compact finite differences
classification
💱 q-fin.CP
keywords
finitedifferencehedgingschemebatescompacthigh-ordermodel
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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.
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