An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps (Q2940021)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps |
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An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps (English)
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23 January 2015
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option pricing
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stochastic volatility model
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jump-diffusion model
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finite difference method
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implicit-explicit time discretization
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