High order ADI splitting scheme for stochastic volatility model with jump (Q6665171)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: High order ADI splitting scheme for stochastic volatility model with jump |
scientific article; zbMATH DE number 7969067
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High order ADI splitting scheme for stochastic volatility model with jump |
scientific article; zbMATH DE number 7969067 |
Statements
High order ADI splitting scheme for stochastic volatility model with jump (English)
0 references
17 January 2025
0 references
high order scheme
0 references
alternating direction implicit
0 references
stochastic volatility model
0 references
option pricing
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
