Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

DOI10.1007/S11075-021-01174-XzbMath1485.91250OpenAlexW3188086829WikidataQ115381576 ScholiaQ115381576MaRDI QIDQ2118964

Yanyan Li

Publication date: 23 March 2022

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-021-01174-x

zbMATH Keywords

convergence ratesoption pricingfinite difference methodsAsian optionsregime-switching modelsjump-diffusion models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

L^∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing ⋮ A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump ⋮ Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing ⋮ Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps ⋮ Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models

Cites Work

• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
• Moving mesh methods for pricing Asian options with regime switching
• Pricing exotic options under regime switching
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• A fourth order numerical method based on B-spline functions for pricing Asian options
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• Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
• Financial options pricing with regime-switching jump-diffusions
• Adaptive finite differences and IMEX time-stepping to price options under Bates model
• An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
• A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
• Positive Definite and Semi-Definite Splitting Methods for Non-Hermitian Positive Definite Linear Systems
• Numerical Solution of Partial Differential Equations
• An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models
• On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance
• An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options
• An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

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