Convergence analysis of an IMEX scheme for an integro-differential equation with inexact boundary arising in option pricing with stochastic intensity jumps.
Yong ChenPublished in: Comput. Math. Appl. (2024)
Keyphrases
- differential equations
- convergence analysis
- option pricing
- dynamical systems
- global convergence
- numerical methods
- stock price
- optimality conditions
- decision analysis
- convergence rate
- partial differential equations
- machine learning
- stochastic model
- multiscale
- stochastic process
- markov chain
- approximation methods
- decision makers