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Ma, Jingtang, Wang, Han (2020) Convergence rates of moving mesh methods for moving boundary partial integro–differential equations from regime-switching jump–diffusion Asian option pricing. Journal of Computational and Applied Mathematics, 370. 112598pp. doi:10.1016/j.cam.2019.112598

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Reference TypeJournal (article/letter/editorial)
TitleConvergence rates of moving mesh methods for moving boundary partial integro–differential equations from regime-switching jump–diffusion Asian option pricing
JournalJournal of Computational and Applied Mathematics
AuthorsMa, JingtangAuthor
Wang, HanAuthor
Year2020 (May)Volume370
PublisherElsevier BV
DOIdoi:10.1016/j.cam.2019.112598Search in ResearchGate
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Mindat Ref. ID9502011Long-form Identifiermindat:1:5:9502011:0
GUID0
Full ReferenceMa, Jingtang, Wang, Han (2020) Convergence rates of moving mesh methods for moving boundary partial integro–differential equations from regime-switching jump–diffusion Asian option pricing. Journal of Computational and Applied Mathematics, 370. 112598pp. doi:10.1016/j.cam.2019.112598
Plain TextMa, Jingtang, Wang, Han (2020) Convergence rates of moving mesh methods for moving boundary partial integro–differential equations from regime-switching jump–diffusion Asian option pricing. Journal of Computational and Applied Mathematics, 370. 112598pp. doi:10.1016/j.cam.2019.112598
In(n.d.) Journal of Computational and Applied Mathematics Vol. 370. Elsevier BV

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Ma, Jingtang, Zhou, Zhiqiang (2016) Moving mesh methods for pricing Asian options with regime switching. Journal of Computational and Applied Mathematics, 298. 211-221 doi:10.1016/j.cam.2015.11.027
Chen, Yong, Hu, Ruizi (2023) L∞-norm convergence rates of an IMEX scheme for solving a partial integro-differential equation system arising from regime-switching jump-diffusion Asian option pricing. International Journal of Computer Mathematics, 100 (6) 1373-1394 doi:10.1080/00207160.2023.2189048
Ma, Jingtang, Liu, Jinqiang, Zhou, Zhiqiang (2014) Convergence analysis of moving finite element methods for space fractional differential equations. Journal of Computational and Applied Mathematics, 255. 661-670 doi:10.1016/j.cam.2013.06.021
Ma, Jingtang, Chen, Yong (2020) Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models. International Journal of Computer Mathematics, 97 (11) 2210-2232 doi:10.1080/00207160.2019.1685663
Costabile, Massimo, Leccadito, Arturo, Massabó, Ivar, Russo, Emilio (2014) Option pricing under regime-switching jump–diffusion models. Journal of Computational and Applied Mathematics, 256. 152-167 doi:10.1016/j.cam.2013.07.046
Jiang, Yingjun, Ma, Jingtang (2013) Spectral collocation methods for Volterra-integro differential equations with noncompact kernels. Journal of Computational and Applied Mathematics, 244. 115-124 doi:10.1016/j.cam.2012.10.033
Ma, Jingtang, Jiang, Yingjun, Xiang, Kaili (2009) Numerical simulation of blowup in nonlocal reaction–diffusion equations using a moving mesh method. Journal of Computational and Applied Mathematics, 230 (1). 8-21 doi:10.1016/j.cam.2008.10.063
Zhou, Zhiqiang, Ma, Jingtang (2016) Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching. Computers & Mathematics with Applications, 71. 1448-1463 doi:10.1016/j.camwa.2016.02.019
Han, Houde, Zhu, Liang, Brunner, Hermann, Ma, Jingtang (2006) Artificial boundary conditions for parabolic Volterra integro-differential equations on unbounded two-dimensional domains. Journal of Computational and Applied Mathematics, 197 (2). 406-420 doi:10.1016/j.cam.2005.09.021
Ahmadi, Z., Hosseini, S.M., Bastani, A. Foroush (2021) A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump–diffusion processes. Journal of Computational and Applied Mathematics, 383. 113132pp. doi:10.1016/j.cam.2020.113132
Jiang, Yingjun, Ma, Jingtang (2011) High-order finite element methods for time-fractional partial differential equations. Journal of Computational and Applied Mathematics, 235 (11). 3285-3290 doi:10.1016/j.cam.2011.01.011
 
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