HIGH ORDER ADI SPLITTING SCHEME FOR STOCHASTIC VOLATILITY MODEL WITH JUMP

Chen Yingzi, Xiao Aiguo, Wang Wansheng

Mathematica Numerica Sinica ›› 2022, Vol. 44 ›› Issue (4) : 466-480.

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Mathematica Numerica Sinica ›› 2022, Vol. 44 ›› Issue (4) : 466-480. DOI: 10.12286/jssx.j2021-0891 CSTR: 32030.14.jssx.j2021-0891

HIGH ORDER ADI SPLITTING SCHEME FOR STOCHASTIC VOLATILITY MODEL WITH JUMP

  • Chen Yingzi1,2, Xiao Aiguo2, Wang Wansheng3
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{{article.zuoZheEn_L}}. {{article.title_en}}. Mathematica Numerica Sinica, 2022, 44(4): 466-480 https://doi.org/10.12286/jssx.j2021-0891

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