Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (Q2115062)
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scientific article; zbMATH DE number 7490243
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models |
scientific article; zbMATH DE number 7490243 |
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Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models (English)
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15 March 2022
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PDEs with delays
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option pricing
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hard-to-borrow stock models
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jump-diffusion models
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finite-difference methods
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convergence rates
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