Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing (Q6200827)
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scientific article; zbMATH DE number 7806993
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing |
scientific article; zbMATH DE number 7806993 |
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Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing (English)
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20 February 2024
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Asian option pricing
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regime-switching jump-diffusion models
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partial integro-differential equations
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implicit-explicit methods
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compact Finite difference methods
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convergence rates
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