A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

2005 ◽  
Vol 43 (4) ◽  
pp. 1596-1626 ◽  
Author(s):  
Rama Cont ◽  
Ekaterina Voltchkova
Keyword(s):  
Finite Difference ◽  
Option Pricing ◽  
Difference Scheme ◽  
Finite Difference Scheme ◽  
Jump Diffusion ◽  
Exponential Lévy Models

Compact Finite Difference Scheme for Option Pricing in Heston’s Model

2010 ◽  
Author(s):  
Bertram Düring ◽  
Michel Fournié ◽  
Theodore E. Simos ◽  
George Psihoyios ◽  
Ch. Tsitouras
Keyword(s):  
Finite Difference ◽  
Option Pricing ◽  
Difference Scheme ◽  
Finite Difference Scheme ◽  
Compact Finite Difference Scheme ◽  
Compact Finite Difference ◽  
Heston's Model
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