High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance (Q7006918)
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scientific article; zbMATH DE number 8017465
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| English | High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance |
scientific article; zbMATH DE number 8017465 |
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High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance (English)
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27 March 2025
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nonlinear partial integro-differential equations
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jump-diffusion models
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implicit-explicit BDF methods
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finite difference method
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error estimates
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transaction costs
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illiquid markets
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