Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - 2008
method is tested against two numerical methods that
directly solve the integro-partial differential pricing equation. The … developing option pricing models that
are capable of generating such behaviour; the first is to add jumps into the price process … Scott (1997), generalised to
allow for stochastic interest rates. Scott explores the pricing of European options under
these …