A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
DOI10.1007/s10915-022-02013-4zbMath1503.65187OpenAlexW4303984060MaRDI QIDQ2103424
Publication date: 13 December 2022
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-022-02013-4
a posteriori error estimatesjump-diffusion modelpartial integro-differential equationsEuropean option pricingstochastic volatility modelBDF2 reconstructionsthree point reconstructionsvariable step-size IMEX BDF2 method
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs with randomness, stochastic partial differential equations (35R60) Error bounds for numerical methods for ordinary differential equations (65L70) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)
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