Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
DOI10.1007/S40314-022-01783-9zbMath1499.91166OpenAlexW4212966127WikidataQ115373321 ScholiaQ115373321MaRDI QIDQ2115062
Publication date: 15 March 2022
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-022-01783-9
convergence ratesoption pricingfinite-difference methodsjump-diffusion modelshard-to-borrow stock modelsPDEs with delays
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20)
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