Pricing options under the non-affine stochastic volatility models : an extension of the high-order compact numerical scheme
Year of publication: |
February 2016
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Authors: | Shi, Guangping ; Liu, Xiaoxing ; Tang, Pan |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 16.2016, p. 220-229
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Subject: | Non-affine stochastic volatility | Option pricing | High-order compact finite difference method | Variable mixed derivatives | Nonlinear coefficients | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
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