Numerical solution of systems of partial integral differential equations with application to pricing options
regime switchingjump diffusionAmerican optionsstrongly stableexponential time differencingnonsmooth initial datapartial integral differential equations
Derivative securities (option pricing, hedging, etc.) (91G20) Direct numerical methods for linear systems and matrix inversion (65F05) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) 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) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
- scientific article; zbMATH DE number 2094611
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