Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
DOI10.1007/S40314-022-01783-9zbMATH Open1499.91166OpenAlexW4212966127WikidataQ115373321 ScholiaQ115373321MaRDI QIDQ2115062FDOQ2115062
Authors: Yanyan Li 
Publication date: 15 March 2022
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-022-01783-9
Recommendations
- 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
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)
Cites Work
- The pricing of options and corporate liabilities
- Stochastic calculus for finance. II: Continuous-time models.
- Numerical Solution of Partial Differential Equations
- A Second-order Finite Difference Method for Option Pricing Under Jump-diffusion Models
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models
- An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
- Analysis of Some Moving Space-Time Finite Element Methods
- Pricing American call options under a hard-to-borrow stock model
- IMEX schemes for pricing options under jump-diffusion models
- An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models
- Positive Definite and Semi-Definite Splitting Methods for Non-Hermitian Positive Definite Linear Systems
- Adaptive finite differences and IMEX time-stepping to price options under Bates model
- Pricing European call options under a hard-to-borrow stock model
- On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance
- 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
- Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
- Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models
Cited In (1)
This page was built for publication: Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2115062)
