A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models
DOI10.1016/j.cnsns.2019.105159zbMath1453.65361OpenAlexW2997615416WikidataQ126424059 ScholiaQ126424059MaRDI QIDQ2204418
Edson Pindza, Eben Maré, Claude Rodrigue Bambe Moutsinga
Publication date: 15 October 2020
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2019.105159
stochastic volatilitydomain decompositionPoisson processaffine jump diffusiontime-spectral methodcorrelated state process
Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Special integral transforms (Legendre, Hilbert, etc.) (44A15) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Integro-partial differential equations (35R09) Numerical solution of discretized equations for initial value and initial-boundary value problems involving PDEs (65M22)
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