Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (Q2115062)
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scientific article; zbMATH DE number 7490243
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| English | Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models |
scientific article; zbMATH DE number 7490243 |
Statements
Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (English)
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15 March 2022
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PDEs with delays
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option pricing
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hard-to-borrow stock models
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jump-diffusion models
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finite-difference methods
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convergence rates
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0.8395556807518005
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0.8131729960441589
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0.8101748824119568
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0.8003146648406982
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