Abstract
In Chap. 9, we considered pure diffusion stochastic volatility models. We extend these models by adding jumps and derive numerical solutions for different models such as Bates or Barndorff-Nielsen and Shephard.
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Hilber, N., Reichmann, O., Schwab, C., Winter, C. (2013). Stochastic Volatility Models with Jumps. In: Computational Methods for Quantitative Finance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35401-4_15
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DOI: https://doi.org/10.1007/978-3-642-35401-4_15
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