A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
DOI10.1002/mma.9682OpenAlexW4386914582MaRDI QIDQ6120406
Wan-Sheng Wang, Hong-Jiong Tian, Mengli Mao
Publication date: 25 March 2024
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.9682
stabilityerror estimatesfinite difference methodjump-diffusion modelpartial integro-differential equationsstochastic volatility modelEuropean options pricingvariable step-size implicit-explicit method
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to equations with linear operators (65J10) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)
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