A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406)
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scientific article; zbMATH DE number 7823719
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump |
scientific article; zbMATH DE number 7823719 |
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A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (English)
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25 March 2024
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error estimates
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European options pricing
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finite difference method
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jump-diffusion model
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partial integro-differential equations
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stability
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stochastic volatility model
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variable step-size implicit-explicit method
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