Name
Title | ||
|---|---|---|
Convergence rates of moving mesh methods for moving boundary partial integro–differential equations from regime-switching jump-diffusion Asian option pricing |
Abstract | ||
|---|---|---|
This paper studies the convergence rates of moving mesh methods for a system of moving boundary partial integro-differential equations (PIDEs) which arise in the Asian option pricing under the state-dependent regime-switching jump–diffusion models. The value function of the Asian option under the model is governed by a system of two-dimensional PIDEs. In this paper, the two-dimensional PIDEs are recast into a one-dimensional moving boundary problem of the PIDEs. A moving finite difference method (FDM) is proposed to solve the one-dimensional moving boundary problem and the convergence rates are proved. Numerical examples are provided to confirm the theoretical results. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.cam.2019.112598 | Journal of Computational and Applied Mathematics |
Keywords | Field | DocType |
65M06,65M12,91G20,91G609,91G80 | Convergence (routing),Regime switching,Differential equation,Mathematical analysis,Jump diffusion,Bellman equation,Asian option,Boundary problem,Finite difference method,Mathematics | Journal |
Volume | ISSN | Citations |
370 | 0377-0427 | 0 |
PageRank | References | Authors |
0.34 | 0 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jingtang Ma | 1 | 120 | 12.98 |
| Han Wang | 2 | 0 | 0.34 |