RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients

DOI10.1007/s11075-023-01719-2MaRDI QIDQ6618223

Alpesh Kumar, Rajesh Yadav, Deepak Kumar Yadav

Publication date: 14 October 2024

Published in: Numerical Algorithms (Search for Journal in Brave)

zbMATH Keywords

stability analysisoperator splittingradial basis functionlocal volatilityoptions pricingregime-switching jump-diffusion

Mathematics Subject Classification ID

Numerical analysis (65-XX) Partial differential equations (35-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

This page was built for publication: RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients