A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424)
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scientific article; zbMATH DE number 7632624
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models |
scientific article; zbMATH DE number 7632624 |
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A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (English)
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13 December 2022
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a posteriori error estimates
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variable step-size IMEX BDF2 method
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BDF2 reconstructions
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three point reconstructions
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partial integro-differential equations
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European option pricing
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jump-diffusion model
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stochastic volatility model
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