Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models

DOI10.1080/00207160.2019.1685663zbMath1480.91318OpenAlexW2982671062WikidataQ114101721 ScholiaQ114101721MaRDI QIDQ5031165

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Publication date: 18 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2019.1685663

zbMATH Keywords

convergence ratesoption pricingfinite difference methodsregime switching modelshard-to-borrow stock modelsPDEs with delays

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)

Related Items (2)

VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH ⋮ Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models

Cites Work

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• Numerical Solution of Partial Differential Equations
• NUMERICAL SCHEMES FOR OPTION PRICING IN REGIME-SWITCHING JUMP DIFFUSION MODELS

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