A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7632624
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models |
scientific article; zbMATH DE number 7632624 |
Statements
A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (English)
0 references
13 December 2022
0 references
a posteriori error estimates
0 references
variable step-size IMEX BDF2 method
0 references
BDF2 reconstructions
0 references
three point reconstructions
0 references
partial integro-differential equations
0 references
European option pricing
0 references
jump-diffusion model
0 references
stochastic volatility model
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.86994404
0 references
0.86893785
0 references
0.8644534
0 references
0.8618872
0 references
0.85357606
0 references
0.8495415
0 references
0.8494779
0 references
0 references
0.8429459
0 references
