On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (Q5232287)
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scientific article; zbMATH DE number 7100341
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance |
scientific article; zbMATH DE number 7100341 |
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On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance (English)
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2 September 2019
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partial integro-differential equation
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implicit-explicit methods
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two-step backward differentiation formula
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options pricing
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jump-diffusion model
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error estimates
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parabolic equations
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finite difference method
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stability
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