High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility With Contemporaneous Jump Models

@article{Dring2018HighOrderCF,
  title={High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility With Contemporaneous Jump Models},
  author={Bertram D{\"u}ring and A. Pitkin},
  journal={Financial Engineering eJournal},
  year={2018}
}
We extend the scheme developed in B. Düring, A. Pitkin, ”High-order compact finite difference scheme for option pricing in stochastic volatility jump models”, 2017, 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… Expand

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