Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing

DOI10.1016/j.cam.2019.112598zbMath1447.65029OpenAlexW2987817064MaRDI QIDQ2297071

Jingtang Ma, Han Wang

Publication date: 18 February 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112598

zbMATH Keywords

convergence ratesmoving boundary problemsmoving mesh methodspartial integro-differential equationsAsian option pricingregime-switching jump diffusion models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) 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) Derivative securities (option pricing, hedging, etc.) (91G20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Moving boundary problems for PDEs (35R37) Integro-partial differential equations (35R09)

Related Items (9)

A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ A spectral element method for option pricing under regime-switching with jumps ⋮ Multistep Runge-Kutta methods for Volterra integro-differential equations ⋮ 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 ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing ⋮ Numerical algorithm based on extended barycentric Lagrange interpolant for two dimensional integro-differential equations ⋮ Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

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