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
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Publication:5347524
American optionerror estimatesfinite element methodIMEX-time semidiscretizationsparabolic partial integro-differential inequality
Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for variational inequalities and related problems (65K15) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cited in
(19)- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
- Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation
- Finite element methods: research in India over the last decade
- Numerical study for European option pricing equations with non-Levy jumps
- An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function
- On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance
- Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
- 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
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
- Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps
- Optimal error estimates of a non-uniform IMEX-L1 finite element method for time fractional PDEs and PIDEs
- A second order non-uniform IMEX-Alikhanov-FEM for time-fractional PDEs and PIDEs with time-dependent coefficients
- Deep learning numerical methods for high-dimensional quasilinear PIDEs and coupled FBSDEs with jumps
- High order Semi-IMEX BDF schemes for nonlinear partial integro-differential equations arising in finance
- On a non-uniform -robust IMEX-L1 mixed FEM for time-fractional PIDEs
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