Numerical solution of systems of partial integral differential equations with application to pricing options

DOI10.1002/NUM.22244zbMath1407.91279OpenAlexW2792761221MaRDI QIDQ4623366

Muhammad Irfan Yousuf

Publication date: 15 February 2019

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.22244

zbMATH Keywords

regime switchingAmerican optionsstrongly stableexponential time differencingjump diffusionnonsmooth initial datapartial integral differential equations

Mathematics Subject Classification ID

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) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Direct numerical methods for linear systems and matrix inversion (65F05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)

Related Items (2)

Partial differential integral equation model for pricing American option under multi state regime switching with jumps ⋮ Two approximated techniques for solving of system of two-dimensional partial integral differential equations with weakly singular kernels

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