Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model

DOI10.1007/s40314-023-02510-8OpenAlexW4389384076MaRDI QIDQ6144313

Deepak Kumar Yadav, Alpesh Kumar, Akanksha Bhardwaj

Publication date: 5 January 2024

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-023-02510-8

zbMATH Keywords

stability analysiserror analysisoperator splittingAmerican optionslinear complementarity problemsjump-diffusion

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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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