Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
DOI10.1007/S11075-021-01174-XzbMATH Open1485.91250OpenAlexW3188086829WikidataQ115381576 ScholiaQ115381576MaRDI QIDQ2118964FDOQ2118964
Publication date: 23 March 2022
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-021-01174-x
option pricingconvergence ratesfinite difference methodsjump-diffusion modelsAsian optionsregime-switching models
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
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- On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance
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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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Cited In (5)
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
- L∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
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