Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
type: Item
instance of: scholarly article
title: Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models
zbMATH Open document ID: 1499.91166
author: Yanyan Li
published in: Computational and Applied Mathematics
publication date: 2022-03-15T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7490243
zbMATH Keywords: PDEs with delays
zbMATH Keywords: option pricing
zbMATH Keywords: hard-to-borrow stock models
zbMATH Keywords: jump-diffusion models
zbMATH Keywords: finite-difference methods
zbMATH Keywords: convergence rates
MaRDI profile type: Publication
full work available at URL: s40314-022-01783-9
OpenAlex ID: W4212966127
Wikidata QID: Q115373321
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DOI: 10.1007/S40314-022-01783-9
description: scientific article; zbMATH DE number 7490243