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High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
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posted on 2023-06-09, 17:11 authored by Bertram Duering, Alexander PitkinWe 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.
Funding
Novel discretisations of higher-order nonlinear PDE; G1603; LEVERHULME TRUST; RPG-2015-069
EPSRC Doctoral Training Partnership (DTP); EP/M506667/1
History
Publication status
- Published
File Version
- Accepted version
Journal
Progress in Industrial Mathematics at ECMI 2018, Mathematics in Industry, Springer, Berlin, Heidelberg, 2019Publisher
Springer VerlagExternal DOI
Book title
Progress in Industrial Mathematics at ECMI 2018ISBN
9783030275495Series
The European Consortium for Mathematics in IndustryDepartment affiliated with
- Mathematics Publications
Research groups affiliated with
- Numerical Analysis and Scientific Computing Research Group Publications
Full text available
- No
Peer reviewed?
- Yes
Editors
Ferenc Izsák, István Faragó, Péter L SimonLegacy Posted Date
2019-03-11First Compliant Deposit (FCD) Date
2019-03-08Usage metrics
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