An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance (Q5057699)
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scientific article; zbMATH DE number 7633873
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance |
scientific article; zbMATH DE number 7633873 |
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An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance (English)
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19 December 2022
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RBF-FD method
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stochastic volatility
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convex combination
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discretization of integral
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weighting coefficients
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