High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models

DOI10.1007/978-3-030-27550-1_46zbMath1469.91062arXiv1810.13248OpenAlexW2899499606MaRDI QIDQ1982765

Alexander Pitkin, Bertram Düring

Publication date: 14 September 2021

Full work available at URL: https://arxiv.org/abs/1810.13248

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

This page was built for publication: High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models