High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-order compact finite difference scheme for option pricing in stochastic volatility jump models |
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High-order compact finite difference scheme for option pricing in stochastic volatility jump models (English)
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20 June 2019
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option pricing
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hedging
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high-order compact finite differences
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stochastic volatility jump model
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Bates model
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finite element method
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