High-order compact finite difference scheme for option pricing in stochastic volatility jump models
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Cited by:
- Yong Chen, 2024. "Fast and Accurate Computation of the Regime-Switching Jump-Diffusion Option Prices Using Laplace Transform and Compact Difference with Convergence Guarantee," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 57-80, July.
- Xubiao He & Pu Gong, 2020. "A Radial Basis Function-Generated Finite Difference Method to Evaluate Real Estate Index Options," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 999-1019, March.
- Peiwei Cao & Xubiao He, 2024. "Machine Learning Solutions for Fast Real Estate Derivatives Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2003-2032, October.
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