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- W4289361973 abstract "We extend the scheme developed in B. During, A. Pitkin, High-order compact finite difference scheme for option pricing in stochastic volatility jump models, 2019, to the so-called stochastic volatility with contemporaneous jumps (SVCJ) model, derived by Duffie, Pan and Singleton. The performance of the scheme is assessed through a number of numerical experiments, using comparisons against a standard second-order central difference scheme. We observe that the new high-order compact scheme achieves fourth order convergence and discuss the effects on efficiency and computation time." @default.
- W4289361973 created "2022-08-02" @default.
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- W4289361973 date "2018-10-30" @default.
- W4289361973 modified "2023-09-26" @default.
- W4289361973 title "High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models" @default.
- W4289361973 doi "https://doi.org/10.48550/arxiv.1810.13248" @default.
- W4289361973 hasPublicationYear "2018" @default.
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