High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models. (arXiv:1810.13248v1 [q-fin.CP])

We extend the scheme developed in B. D\"uring, A. Pitkin, "High-order compact finite difference scheme for option pricing in stochastic volatility jump models", 2017, to the so-called stochastic volatility with contemporaneous jumps (SVCJ) model, derived by Duffie, Pan and Singleton. The performance of the scheme is assessed through a number of numerical experiments, using comparisons against a standard second-order central difference scheme. We observe that the new high-order compact scheme achieves third order convergence alongside improvements in efficiency and computation time.