Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models
Yong Chen
Topics & Concepts
Jump diffusionMathematicsScheme (mathematics)Convergence (economics)Theory of computationOrder (exchange)Boundary (topology)Partial differential equationJumpDiffusionApplied mathematicsBoundary value problemAsian optionMathematical analysisValuation of optionsAlgorithmEconomicsEconometricsPhysicsEconomic growthFinanceThermodynamicsQuantum mechanicsDifferential Equations and Numerical MethodsStochastic processes and financial applicationsAdvanced Mathematical Modeling in Engineering