英文标题：
《High-order compact finite difference scheme for option pricing in
stochastic volatility with contemporaneous jump models》
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作者：
Bertram D\\\"uring, Alexander Pitkin
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最新提交年份：
2019
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英文摘要：
We extend the scheme developed in B. D\\\"uring, 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.
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中文摘要：
我们将B.D \\“uring，A.Pitkin，“随机波动率跳跃模型中期权定价的高阶紧致有限差分格式”（2019）中开发的方案扩展到所谓的随机波动率同步跳跃（SVCJ）模型，由Duffie、Pan和Singleton推导。通过与标准二阶中心差分格式的比较，通过大量的数值实验评估了该格式的性能。我们观察到新的高阶紧致格式实现了四阶收敛，并讨论了它对效率和计算时间的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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