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
Authors: Yanyan Li 
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
Recommendations
- Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
- Numerical schemes for option pricing in regime-switching jump diffusion models
- An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
- IMEX methods for pricing fixed strike Asian options with jump-diffusion models
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
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
- Pricing exotic options under regime switching
- 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
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models
- Financial options pricing with regime-switching jump-diffusions
- IMEX schemes for pricing options under jump-diffusion models
- An IMEX predictor-corrector method for pricing options under regime-switching jump-diffusion models
- Moving mesh methods for pricing Asian options with regime switching
- 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
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- A fourth order numerical method based on B-spline functions for pricing Asian options
- 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
- Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
Cited In (10)
- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
- Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
- IMEX methods for pricing fixed strike Asian options with jump-diffusion models
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
- Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing
- Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
- Moving mesh methods for pricing Asian options with regime switching
- 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
This page was built for publication: Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2118964)
