C++ implementation of "High-order compact finite difference scheme for option pricing in stochastic volatility jump model"s
Published: 8 February 2019| Version 1 | DOI: 10.17632/964tyzmwrn.1
Contributors:
Alex Pitkin,
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
Institutions
University of Sussex
Categories
Numerical Analysis, Financial Mathematics, Computational Finance, Option Pricing Theory