Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods

DOI10.1016/j.cam.2024.116407MaRDI QIDQ6664909

Lehan Wang, Wan-Sheng Wang, Tianhai Tian, Mengli Mao

Publication date: 16 January 2025

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

finite difference methoda posteriori error estimatejump-diffusion modelpartial integro-differential equationsEuropean option pricingimplicit-explicit time discretizationtime-space adaptivity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

This page was built for publication: Adaptive option pricing based on a posteriori error estimates for fully discrete finite difference methods