An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
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Publication:2940021
DOI10.1137/130924905zbMath1308.91193OpenAlexW1971954987WikidataQ109297704 ScholiaQ109297704MaRDI QIDQ2940021
Jari Toivanen, Lina von Sydow, Santtu Salmi
Publication date: 23 January 2015
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: http://urn.fi/URN:NBN:fi:jyu-201410253092
finite difference methodoption pricingjump-diffusion modelstochastic volatility modelimplicit-explicit time discretization
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) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55)
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