An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models
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Publication:5380920
option pricingpartial integro-differential equationregime-switching jump-diffusion modelfinite difference compact schemeimplicit-explicit backward differentiation formula
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) 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) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)
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