Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models (Q2118964)
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scientific article; zbMATH DE number 7496467
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| English | Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models |
scientific article; zbMATH DE number 7496467 |
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Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models (English)
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23 March 2022
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option pricing
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Asian options
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regime-switching 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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