On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
DOI10.4208/aamm.oa-2021-0016zbMath1524.65455MaRDI QIDQ6167138
Jun-Feng Yin, Unnamed Author, Xiao-Ting Gan
Publication date: 7 July 2023
Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)
Crank-Nicolson schemeEuropean option pricingpartial integro-differential equationfitted finite volume methodregime-switching Kou's jump-diffusion model
Numerical methods (including Monte Carlo methods) (91G60) 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) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Integro-partial differential equations (35R09) Finite volume methods for boundary value problems involving PDEs (65N08)
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