An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models (Q5380920)
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scientific article; zbMATH DE number 7063662
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| English | An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models |
scientific article; zbMATH DE number 7063662 |
Statements
An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models (English)
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6 June 2019
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finite difference compact scheme
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implicit-explicit backward differentiation formula
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option pricing
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partial integro-differential equation
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regime-switching jump-diffusion model
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0.9224888
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0.9155191
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0.91387576
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0.91105497
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0.8957004
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0.8949634
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0.8945145
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0.8932696
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