Efficient hedging in Bates model using high-order compact finite differences
arXiv:1710.05542
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.
9 pages, 7 figures