<i>L</i><sup>∞</sup>-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing (Q6106750)
From MaRDI portal
scientific article; zbMATH DE number 7705626
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | <i>L</i><sup>∞</sup>-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing |
scientific article; zbMATH DE number 7705626 |
Statements
<i>L</i><sup>∞</sup>-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing (English)
0 references
3 July 2023
0 references
Asian option pricing
0 references
partial integro-differential equations
0 references
regime-switching jump-diffusion models
0 references
implicit-explicit finite difference methods
0 references
norm convergence rates
0 references
0 references
0 references
0 references
0 references
