Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
DOI10.1002/num.22520OpenAlexW3082478742MaRDI QIDQ6088441
Mehdi Dehghan, Mohammad Shirzadi, Ali Foroush Bastani
Publication date: 14 December 2023
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.22520
option pricingpartial integro-differential equationsjump-diffusion modelsGreeksuniform error estimatemoving least-squares method
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) 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) Second-order elliptic equations (35J15) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09)
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