Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps

被引：0
作者：
Chen, Yong [1 ]
机构：
[1] Xihua Univ, Sch Econ, Chengdu 610039, Peoples R China
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2024年 / 161卷
关键词：
Option pricing; Stochastic intensity jumps; Partial integro-differential equations; Inexact boundaries; Implicit-explicit finite difference methods; Convergence rates; VOLATILITY; TRANSFORM; MODELS;
D O I：
10.1016/j.camwa.2024.02.040
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we are concerned with the convergence rates of an implicit-explicit (IMEX) difference scheme for solving a two-dimensional partial integro-differential equation (PIDE) with an inexact boundary which arises in option pricing with stochastic intensity jumps. First, the IMEX scheme is proposed to solve the two-dimensional PIDE and its inexact boundary governed by a one-dimensional PIDE. Then the second-order convergence rates of the IMEX scheme for the main PIDE are proved for both time and space based on the second-order convergence analysis in the discrete H-1-norm of the IMEX scheme for the boundary PIDE. Numerical examples are given to illustrate the theoretical results.
引用
收藏
页码：63 / 77
页数：15
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