On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance (Q5232287)
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scientific article; zbMATH DE number 7100341
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| English | On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance |
scientific article; zbMATH DE number 7100341 |
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On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (English)
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2 September 2019
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partial integro-differential equation
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implicit-explicit methods
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two-step backward differentiation formula
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options pricing
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jump-diffusion model
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error estimates
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parabolic equations
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finite difference method
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stability
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0.8799556493759155
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0.8246906399726868
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0.8208006620407104
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0.8171661496162415
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0.7936668395996094
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