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 estimatesBDF2 reconstructionsEuropean option pricingjump-diffusion modelpartial integro-differential equationsstochastic volatility modelthree point reconstructionsvariable step-size IMEX BDF2 method
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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
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- Adaptive finite differences and IMEX time-stepping to price options under Bates model
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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
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- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
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Cited in
(12)- 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
- Residual-based a posteriori error analysis and adaptive computation for implicit Euler method for nonlinear neutral delay differential equations
- A hybrid Crank-Nicolson and Morgan-Voyce collocation method for option pricing pides
- A posteriori error estimates and time adaptivity for fully discrete finite element method for the incompressible Navier-Stokes equations
- Option pricing using the IMEX-AVF method with high jump intensity
- Performance comparison of variable-stepsize IMEX SBDF methods on advection-diffusion-reaction models
- High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
- Robust error estimates for second-order stabilization finite element method for Navier-Stokes equations with small viscosity and nonsmooth initial data
- Reconstruction-based a posteriori error estimates for the L1 method for time fractional parabolic problems
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