Reduced order models for pricing European and American options under stochastic volatility and jump-diffusion models
Author:
Publisher
Elsevier BV
Subject
Modelling and Simulation,General Computer Science,Theoretical Computer Science
Reference49 articles.
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2. Option pricing when underlying stock returns are discontinuous;Merton;J. Financ. Econ.,1976
3. A closed-form solution for options with stochastic volatility with applications to bond and currency options;Heston;Rev. Financ. Stud.,1993
4. Jumps and stochastic volatility: exchange rate processes implicit Deutsche mark options;Bates;Rev. Financ. Stud.,1996
5. Multigrid for American option pricing with stochastic volatility;Clarke;Appl. Math. Financ.,1999
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