Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov–Galerkin method
نویسندگان
چکیده
منابع مشابه
Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method
The most recent update of financial option models is American options under stochastic volatility models with jumps in returns (SVJ) and stochastic volatility models with jumps in returns and volatility (SVCJ). To evaluate these options, mesh-based methods are applied in a number of papers but it is well-known that these methods depend strongly on the mesh properties which is the major disadvan...
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ژورنال
عنوان ژورنال: Applied Numerical Mathematics
سال: 2017
ISSN: 0168-9274
DOI: 10.1016/j.apnum.2017.01.015