In this paper,we consider high-order scheme together with time splitting scheme for solving stochastic volatility models with jumps,which is given by a part
Although a lot of numerical methods to stochastic differential equations with the coefficients of locally Lipschitz and polynomial growth have been discusse
In this talk,we introduce a new class of Runge-Kutta(RK)methods for backward stochastic differential equations(BSDEs).The convergence rate is studied and th
We return to earlier two works in Kovács, Larsson, and Mesforush (2011) and Kovács,Larsson, Mesforush, and Lindgren (2018), concerning the numerical solut