An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

DOI10.1002/mma.5539zbMath1417.65150OpenAlexW2918281123MaRDI QIDQ5380920

Yingzi Chen, Ai-Guo Xiao, Wan-Sheng Wang

Publication date: 6 June 2019

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.5539

zbMATH Keywords

option pricingpartial integro-differential equationregime-switching jump-diffusion modelfinite difference compact schemeimplicit-explicit backward differentiation formula

Mathematics Subject Classification ID

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