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Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps - MaRDI portal

Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps (Q3460257)

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Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps
scientific article

    Statements

    title
    Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps (English)
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    author
    Simona Sanfelici
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    Chiara Guardasoni
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    publication date
    7 January 2016
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    zbMATH Keywords
    boundary element method
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    barrier options
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    Bates model
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    Heston model
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    cites work
    Q4881818
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    Q4086524
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    Q4544929
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    Q4433608
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    Identifiers

    DOI
    10.1137/15100504X
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    Mathematics Subject Classification ID
    91G60
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    91G20
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    65M38
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    65M80
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    zbMATH DE Number
    6527170
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