<i>L</i><sup>∞</sup>-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing (Q6106750)
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scientific article; zbMATH DE number 7705626
Language | Label | Description | Also known as |
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English | <i>L</i><sup>∞</sup>-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing |
scientific article; zbMATH DE number 7705626 |
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<i>L</i><sup>∞</sup>-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing (English)
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3 July 2023
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Asian option pricing
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partial integro-differential equations
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regime-switching jump-diffusion models
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implicit-explicit finite difference methods
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norm convergence rates
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