Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps

DOI10.1016/J.CAMWA.2024.02.040MaRDI QIDQ6494191

Yong Chen

Publication date: 29 April 2024

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

convergence ratesoption pricingpartial integro-differential equationsimplicit-explicit finite difference methodsinexact boundariesstochastic intensity jumps

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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