Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients
DOI10.1051/m2an/2019035zbMath1475.91400OpenAlexW2943860783WikidataQ127912910 ScholiaQ127912910MaRDI QIDQ4972114
Publication date: 22 November 2019
Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/m2an/2019035
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-differential operators (47G20)
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Cites Work
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