Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps (Q6494191)
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scientific article; zbMATH DE number 7839865
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| English | Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps |
scientific article; zbMATH DE number 7839865 |
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Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps (English)
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29 April 2024
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option pricing
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stochastic intensity jumps
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partial integro-differential equations
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inexact boundaries
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implicit-explicit finite difference methods
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convergence rates
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