A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
DOI10.1007/S10915-022-02013-4zbMATH Open1503.65187OpenAlexW4303984060MaRDI QIDQ2103424FDOQ2103424
Authors: Yanyan Li 
Publication date: 13 December 2022
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-022-02013-4
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- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
Cited In (4)
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- A posteriori error estimates for fully discrete finite difference method for linear parabolic equations
- A posteriori error estimates and adaptivity for the IMEX BDF2 method for nonlinear parabolic equations
- Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods
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