C++ implementation of "High-order compact finite difference scheme for option pricing in stochastic volatility jump model"s

C++ implementation of "High-order compact finite difference scheme for option pricing in stochastic volatility jump model", published in Journal of Computational and Applied Mathematics, https://doi.org/10.1016/j.cam.2019.01.043 Implementation of 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 option price is determined as the solution of a partial integro-differential equation. The scheme is fourth order accurate in space and second order accurate in time.本内容为发表于《Journal of Computational and Applied Mathematics》（计算与应用数学杂志，DOI链接：https://doi.org/10.1016/j.cam.2019.01.043）的论文《随机波动率跳变模型下期权定价的高精度紧致有限差分格式（High-order compact finite difference scheme for option pricing in stochastic volatility jump model）》的C++实现。本实现针对随机波动率跳变模型（如贝茨模型（Bates model））下的期权定价问题，采用了一种新型高精度紧致有限差分格式。在此类模型中，期权价格可表示为偏积分微分方程（partial integro-differential equation）的解。该格式在空间维度上具备四阶精度，在时间维度上具备二阶精度。