Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models

DOI10.1080/00207160.2019.1685663MaRDI QIDQ5031165zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 18 February 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2019.1685663

zbMATH Keywords

convergence ratesfinite difference methodshard-to-borrow stock modelsoption pricingPDEs with delaysregime switching models

Mathematics Subject Classification ID

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) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Analysis of Some Moving Space-Time Finite Element Methods
• Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
• Convergence rates of moving mesh Rannacher methods for PDEs of Asian options pricing
• Extrapolation algorithm of compact ADI approximation for two-dimensional parabolic equation
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
• NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
• Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
• Numerical schemes for option pricing in regime-switching jump diffusion models
• Numerical Solution of Partial Differential Equations
• Path-dependence of leveraged ETF returns
• Pricing American call options under a hard-to-borrow stock model
• Pricing European call options under a hard-to-borrow stock model
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(6)

• Pricing European call options under a hard-to-borrow stock model
• Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
• Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model
• Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
• Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
• Variable step-size IMEX scheme for a partial differential equation with delays and mixed derivative from option pricing under hard-to-borrow model

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