An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options

DOI10.1137/16M1074746zbMath1362.65094MaRDI QIDQ5347524

Mohan K. Kadalbajoo, Lok Pati Tripathi, Alpesh Kumar

Publication date: 24 May 2017

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

error estimatesfinite element methodAmerican optionIMEX-time semidiscretizationsparabolic partial integro-differential inequality

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods for variational inequalities and related problems (65K15)

Related Items (12)

Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option ⋮ L^∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing ⋮ A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options ⋮ Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function ⋮ Finite element methods: research in India over the last decade ⋮ On the Variable Two-Step IMEX BDF Method for Parabolic Integro-differential Equations with Nonsmooth Initial Data Arising in Finance ⋮ Numerical study for European option pricing equations with non-levy jumps ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models ⋮ Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models ⋮ Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models

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