English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

The purpose of this paper is to rigorously prove-norm convergence rates of an implicit-explicit (IMEX) difference method called Crank-Nicolson-Leap-Frog (CN-LF) scheme for solving a partial integro-differential equation (PIDE) system with moving boundaries from the regime-switching jump-diffusion Asian option pricing. The IMEX scheme is employed to discretize the PIDE system. Then the unconditional stability, unique solvability and convergence of second-order rates in both time and space are rigorously proved in the sense of-norm. Finally, several numerical examples are conducted to verify the theory.

international journal of computer mathematics

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