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
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:	Organisation
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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