An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
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Publication:5057699
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Cited in
(4)- On the numerical solution of high-dimensional PDEs arising in multi-asset options via a kernel-type solver
- Exploring Gaussian radial basis function integrals for weight generation with application in financial option pricing
- A unified framework for high-order compact finite differences using infinitely- and piecewise-smooth RBFs with polynomials
- A trigonometric approach to construct compact radial basis function finite difference formulas
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