Compact IMEX scheme for a moving boundary PIDE system of the regime-switching jump-diffusion Asian option pricing
DOI10.1007/S11075-023-01599-6OpenAlexW4383106395MaRDI QIDQ6200827
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Publication date: 20 February 2024
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-023-01599-6
convergence ratespartial integro-differential equationsimplicit-explicit methodsAsian option pricingregime-switching jump-diffusion modelscompact Finite difference methods
Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical analysis or methods applied to Markov chains (65C40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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