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 editorsBalajewicz, Maciej; Toivanen, Jari

Journal or seriesJournal of Computational Science

ISSN1877-7503

eISSN1877-7511

Publication year2017

Volume20

Issue number0

Pages range198-204

PublisherElsevier

Publication countryNetherlands

Publication languageEnglish

DOIhttps://doi.org/10.1016/j.jocs.2017.01.004

Publication open accessNot open

Publication channel open access

Publication is parallel published (JYX)https://jyx.jyu.fi/handle/123456789/54219


Free keywordsreduced order model; option pricing; European option; American option; linear complementary problem


Contributing organizations


Ministry reportingYes

Reporting Year2017

JUFO rating1


Last updated on 2023-27-02 at 11:06