A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406)
From MaRDI portal
scientific article; zbMATH DE number 7823719
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump |
scientific article; zbMATH DE number 7823719 |
Statements
A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (English)
0 references
25 March 2024
0 references
error estimates
0 references
European options pricing
0 references
finite difference method
0 references
jump-diffusion model
0 references
partial integro-differential equations
0 references
stability
0 references
stochastic volatility model
0 references
variable step-size implicit-explicit method
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
