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
DOI10.1080/00207160.2023.2189048OpenAlexW4323665940WikidataQ117220110 ScholiaQ117220110MaRDI QIDQ6106750
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Publication date: 3 July 2023
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2023.2189048
partial integro-differential equationsAsian option pricingregime-switching jump-diffusion modelsimplicit-explicit finite difference methodsnorm convergence rates
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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