Florescu, Ionuţ; Mariani, Maria Cristina; Sewell, Granville - In: Quantitative Finance 14 (2011) 8, pp. 1445-1452
We study the numerical solutions for an integro-differential parabolic problem modeling a process with jumps and stochastic volatility in financial mathematics. We present two general algorithms to calculate numerical solutions. The algorithms are implemented in PDE2D, a general-purpose, partial...