A1 Journal article (refereed)
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps (2014)

Salmi, S., Toivanen, J., & von Sydow, L. (2014). An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps. SIAM Journal on Scientific Computing, 36(5), B817-B834. https://doi.org/10.1137/130924905

JYU authors or editors

Publication details

All authors or editors: Salmi, Santtu; Toivanen, Jari; von Sydow, Lina

Journal or series: SIAM Journal on Scientific Computing

ISSN: 1064-8275

eISSN: 1095-7197

Publication year: 2014

Volume: 36

Issue number: 5

Pages range: B817–B834

Publisher: Society for Industrial and Applied Mathematics

Publication country: United States

Publication language: English

DOI: https://doi.org/10.1137/130924905

Publication open access: Not open

Publication channel open access: 

Publication is parallel published (JYX): https://jyx.jyu.fi/handle/123456789/44917

Free keywords: option pricing; stochastic volatility model; jump-diffusion model; finite difference method; implicit-explicit time discretization

Contributing organizations

Ministry reporting: Yes

Reporting Year: 2014

JUFO rating: 3