Paper Info
Title
Convergence Rates Of The Numerical Methods For The Delayed Pdes From Option Pricing Under Regime Switching Hard-To-Borrow Models
Abstract
The aim of this paper is to study the convergence rates of the finite difference methods (FDMs) for solving the PDEs with spatial delays which arise in the option pricing under regime switching hard-to-borrow models. The PDEs are coupled for different regime states and involve delays in two spatial directions. One of the boundary conditions is implicitly given by an initial-boundary value problem of coupled PDEs which needs to be solved before solving the main equations. This paper proves convergence rates of the FDM based on mesh-dependent expansions for solving the problems. Numerical examples confirm the theory.
Year
DOI
Venue
2020
10.1080/00207160.2019.1685663
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS
Keywords
DocType
Volume
PDEs with delays, option pricing, hard-to-borrow stock models, regime switching models, finite difference methods, convergence rates, 65C20, 65C40, 65M06, 91G20, 91G60
Journal
97
Issue
ISSN
Citations 
11
0020-7160
0
PageRank 
References 
Authors
0.34
0
2
Name
Order
Citations
PageRank
Jingtang Ma112012.98
Yong Chen2750118.44