Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps

DOI10.1137/15100504XzbMath1329.91139MaRDI QIDQ3460257

Simona Sanfelici, Chiara Guardasoni

Publication date: 7 January 2016

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

boundary element methodHeston modelBates modelbarrier options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38) Fundamental solutions, Green's function methods, etc. for initial value and initial-boundary value problems involving PDEs (65M80)

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