High Order Method for Variable Coefficient Integro-Differential Equations and Inequalities Arising In Option Pricing Pradeep

DOI10.4208/ijnam2023-1023OpenAlexW4377252720MaRDI QIDQ6143260

Publication date: 23 January 2024

Published in: International Journal of Numerical Analysis and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/ijnam2023-1023

zbMATH Keywords

option pricing partial integro-differential equations Schur polynomials jump-diffusion models implicit-explicit schemes

Mathematics Subject Classification ID

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)

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