Option pricing for a stochastic volatility jump-diffusion model
Euler schemefinite element methodjump-diffusion modelLévy processesMonte Carlo methodstochastic volatilityvariational formulation
Variational methods applied to PDEs (35A15) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
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