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

DOI10.1016/J.CAM.2019.01.043zbMath1419.91647arXiv1704.05308OpenAlexW4246011329MaRDI QIDQ2423603

Bertram Düring, Alexander Pitkin

Publication date: 20 June 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.05308

zbMATH Keywords

finite element methodhedgingoption pricingBates modelhigh-order compact finite differencesstochastic volatility jump model

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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items (5)

A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ Unnamed Item ⋮ High order approximation of derivatives with applications to pricing of financial derivatives ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models

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