An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps.

Santtu Salmi Jari Toivanen Lina von Sydow

Published in: SIAM J. Sci. Comput. (2014)

Keyphrases

learning automata
markov chain
model selection
short term
statistical models
analytical model
stochastic process
stochastic models
option pricing