Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
DOI10.1007/S12190-024-02020-8MaRDI QIDQ6584729
Ankit Singh, Vikas Maurya, Manoj K. Rajpoot
Publication date: 8 August 2024
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
operator splittingpartial integro-differential equationsimplicit-explicit methodsregime-switching processEuropean and American optionsnumerical option pricing
Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Derivative securities (option pricing, hedging, etc.) (91G20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Finite difference methods for boundary value problems involving PDEs (65N06) Integro-differential operators (47G20)
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