16 citations · 16 across the 2 of their papers we have counts for
3 papers
q-fin.CP2018
High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models
Bertram Düring, Alexander Pitkin
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-calle…
q-fin.CP2017
Efficient hedging in Bates model using high-order compact finite differences
Bertram Düring, Alexander Pitkin
We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to stan…
q-fin.CP2017★ 16 cited
High-order compact finite difference scheme for option pricing in stochastic volatility jump models
Bertram Düring, Alexander Pitkin
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determi…