C++ implementation of "High-order compact finite difference scheme for option pricing in stochastic volatility jump model"s

Published: 08-02-2019| Version 1 | DOI: 10.17632/964tyzmwrn.1
Contributors:
Alex Pitkin,
Bertram Düring

Description

C++ implementation of "High-order compact finite difference scheme for option pricing in stochastic volatility jump model", published in Journal of Computational and Applied Mathematics, https://doi.org/10.1016/j.cam.2019.01.043 Implementation of a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution of a partial integro-differential equation. The scheme is fourth order accurate in space and second order accurate in time.

Files

Steps to reproduce

Requires GSL2.1 or higher and UMFPACK libraries