We extend the scheme developed in B. Düring, A. Pitkin, ”High-order compact finite difference scheme for option pricing in stochastic volatility jump models�

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the opt

We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order acc

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space and