Düring, Bertram and Pitkin, Alexander (2019) High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models. In: Progress in Industrial Mathematics at ECMI 2018. The European Consortium for Mathematics in Industry . Springer Verlag. (Accepted)
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Abstract
We extend the scheme developed in B. Düring, A. We extend the scheme developed in B. Düring, A. Pitkin, "High-order compact finite difference scheme for option pricing in stochastic volatility jump models", 2019, to the so-called stochastic volatility with contemporaneous jumps (SVCJ) model, derived by Duffie, Pan and Singleton. The performance of the scheme is assessed through a number of numerical experiments, using comparisons against a standard second-order central difference scheme. We observe that the new high-order compact scheme achieves fourth order convergence and discuss the effects on efficiency and computation time.
Item Type: | Book Section |
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Schools and Departments: | School of Mathematical and Physical Sciences > Mathematics |
Research Centres and Groups: | Numerical Analysis and Scientific Computing Research Group |
Subjects: | Q Science > QA Mathematics |
Related URLs: | |
Depositing User: | Alice Jackson |
Date Deposited: | 11 Mar 2019 10:14 |
Last Modified: | 11 Mar 2019 10:14 |
URI: | http://srodev.sussex.ac.uk/id/eprint/82416 |
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📧 Request an updateProject Name | Sussex Project Number | Funder | Funder Ref |
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Novel discretisations of higher-order nonlinear PDE | G1603 | LEVERHULME TRUST | RPG-2015-069 |
EPSRC Doctoral Training Partnership (DTP) | Unset | Unset | EP/M506667/1 |