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Jump to Default Stochastic Volatility + Stochastic Default Intensity
Hi I am wondering if anyone has tried to price call options via numerical integration using a Jumpt to Default Stochastic Volatility model (Heston's type) similar to the one proposed by Carr and Wu in http://www.math.nyu.edu/research/carrp/ ... eqjfe.pdfI find that Gauss Legendre requires more than 500 points to get accuracy in 1st decimal place for a call option price. (Note that i have neglected the jumps i.e. last term in the stoch process described by (1) in the above paper)I would appreciate it if anyone has any findings / experience with this model. Thanks V