An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance

DOI10.1142/S0219876221410218OpenAlexW3208555141MaRDI QIDQ5057699

Fazlollah Soleymani

Publication date: 19 December 2022

Published in: International Journal of Computational Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219876221410218

zbMATH Keywords

convex combinationstochastic volatilityweighting coefficientsRBF-FD methoddiscretization of integral

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• Matlab
• Eigtool

Cites Work

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