A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
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Publication:2103424
a posteriori error estimatesEuropean option pricingjump-diffusion modelstochastic volatility modelpartial integro-differential equationsBDF2 reconstructionsthree point reconstructionsvariable step-size IMEX BDF2 method
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) PDEs with randomness, stochastic partial differential equations (35R60) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for numerical methods for ordinary differential equations (65L70) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
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Cites work
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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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