Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
option pricingconvergence ratesjump-diffusion modelsfinite-difference methodshard-to-borrow stock modelsPDEs with delays
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
- Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- An IMEX-scheme for pricing options under stochastic volatility models with jumps
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
- 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
- Analysis of Some Moving Space-Time Finite Element Methods
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
- IMEX schemes for pricing options under jump-diffusion models
- Numerical Solution of Partial Differential Equations
- Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Positive definite and semi-definite splitting methods for non-Hermitian positive definite linear systems
- Pricing American call options under a hard-to-borrow stock model
- Pricing European call options under a hard-to-borrow stock model
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- Stochastic calculus for finance. II: Continuous-time models.
- The pricing of options and corporate liabilities
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
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