Pages that link to "Item:Q2118964"
From MaRDI portal
The following pages link to Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models (Q2118964):
Displaying 4 items.
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)
- Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing (Q6200827) (← links)
- Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps (Q6494191) (← links)
- Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models (Q6584729) (← links)
