A1 Journal article (refereed)
Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models (2017)
Balajewicz, M., & Toivanen, J. (2017). Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models. Journal of Computational Science, 20, 198-204. https://doi.org/10.1016/j.jocs.2017.01.004
JYU authors or editors
Publication details
All authors or editors: Balajewicz, Maciej; Toivanen, Jari
Journal or series: Journal of Computational Science
ISSN: 1877-7503
eISSN: 1877-7511
Publication year: 2017
Volume: 20
Issue number: 0
Pages range: 198-204
Publisher: Elsevier
Publication country: Netherlands
Publication language: English
DOI: https://doi.org/10.1016/j.jocs.2017.01.004
Publication open access: Not open
Publication channel open access:
Publication is parallel published (JYX): https://jyx.jyu.fi/handle/123456789/54219
Free keywords: reduced order model; option pricing; European option; American option; linear complementary problem
Contributing organizations
Ministry reporting: Yes
Reporting Year: 2017
JUFO rating: 1