An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models (Q5380920)
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scientific article; zbMATH DE number 7063662
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models |
scientific article; zbMATH DE number 7063662 |
Statements
An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models (English)
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6 June 2019
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finite difference compact scheme
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implicit-explicit backward differentiation formula
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option pricing
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partial integro-differential equation
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regime-switching jump-diffusion model
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