High-order compact finite difference scheme for option pricing in stochastic volatility jump models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.01.043 ◽

2019 ◽

Vol 355 ◽

pp. 201-217 ◽

Author(s):

Bertram Düring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1646885 ◽

2010 ◽

Author(s):

Bertram Düring ◽

Michel Fournie

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Stochastic Volatility Models ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Volatility Models

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Jump Models

SSRN Electronic Journal ◽

10.2139/ssrn.2954523 ◽

2017 ◽

Author(s):

Bertram DDring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility With Contemporaneous Jump Models

SSRN Electronic Journal ◽

10.2139/ssrn.3275199 ◽

2018 ◽

Author(s):

Bertram Düring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility with Contemporaneous Jump Models

Progress in Industrial Mathematics at ECMI 2018 - Mathematics in Industry ◽

10.1007/978-3-030-27550-1_46 ◽

2019 ◽

pp. 365-371

Author(s):

Bertram Düring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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High-order compact finite difference scheme for option pricing in stochastic volatility models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2012.04.017 ◽

2012 ◽

Vol 236 (17) ◽

pp. 4462-4473 ◽

Author(s):

Bertram Düring ◽

Michel Fournié

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Stochastic Volatility Models ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Volatility Models

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Analysis of a conservative high-order compact finite difference scheme for the Klein–Gordon–Schrödinger equation

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.02.018 ◽

2019 ◽

Vol 358 ◽

pp. 84-96 ◽

Author(s):

Jialing Wang ◽

Dong Liang ◽

Yushun Wang

Keyword(s):

Finite Difference ◽

Schrödinger Equation ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Schrodinger Equation ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

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Convergence of a high-order compact finite difference scheme for the Klein-Gordon-Schrödinger equations

Applied Numerical Mathematics ◽

10.1016/j.apnum.2019.03.004 ◽

2019 ◽

Vol 143 ◽

pp. 133-145 ◽

Author(s):

Juan Chen ◽

Fangqi Chen

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Schrodinger Equations ◽

Schrödinger Equations ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

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On the Stability of a Compact Finite Difference Scheme for Option Pricing

Mathematics in Industry - Progress in Industrial Mathematics at ECMI 2010 ◽

10.1007/978-3-642-25100-9_25 ◽

2012 ◽

pp. 215-221 ◽

Author(s):

Bertram Düring ◽

Michel Fournié

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

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High-Order Compact Finite Difference Scheme for Pricing Asian Option with Moving Boundary Condition

Differential Equations and Dynamical Systems ◽

10.1007/s12591-017-0372-8 ◽

2017 ◽

Vol 27 (1-3) ◽

pp. 39-56 ◽

Author(s):

Kuldip Singh Patel ◽

Mani Mehra

Keyword(s):

Boundary Condition ◽

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Moving Boundary ◽

Asian Option ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Moving Boundary Condition

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A new conservative nonlinear high-order compact finite difference scheme for the general Rosenau-RLW equation

Boundary Value Problems ◽

10.1186/s13661-015-0336-2 ◽

2015 ◽

Vol 2015 (1) ◽

Author(s):

Huan Wang ◽

Jue Wang ◽

Shuguang Li

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Rlw Equation ◽

Nonlinear High Order

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