High-order compact finite difference scheme for option pricing in stochastic volatility jump models
Author:
Funder
Leverhulme Trust
EPSRC
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference37 articles.
1. The pricing of options and corporate liabilities;Black;J. Political Econ.,1973
2. Option Valuation Under Stochastic Volatility;Lewis,2000
3. A closed-form solution for options with stochastic volatility with applications to bond and currency options;Heston;Rev. Financial Stud.,1993
4. Option pricing when underlying stock returns are discontinuous;Merton;J. Financ. Econ.,1976
5. Jumps and stochastic volatility: Exchange rate processes implicit deutsche mark options;Bates;Rev. Financial Stud.,1996
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