Pricing options under stochastic volatility jump model: a stable adaptive scheme

DOI10.1016/J.APNUM.2019.05.027zbMath1433.91180OpenAlexW2948654207MaRDI QIDQ2273036

Yanyan Li

Publication date: 18 September 2019

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2019.05.027

zbMATH Keywords

option pricingBates modelnon-uniform gridnonlocal integralstochastic volatility jump

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on general state spaces (60J76)

Related Items (3)

A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump ⋮ Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU ⋮ Optimal non-uniform finite difference grids for the Black-Scholes equations

Uses Software

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• Eigtool

Cites Work

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