Scholarlink

<p>In this paper, we propose and analyze a linearized variable step-size scheme for a coupled semilinear parabolic partial differential equation (PDE) system arising from option pricing with liquidity shocks. First, we develop an implicit-explicit (IMEX) scheme on graded mesh for temporal discretization and finite difference method on nonuniform space grid for spatial discretization to solve the problem. The consistency errors of the proposed scheme are obtained. Moreover, the second-order convergence rates for both time and space are analyzed by the energy method. Numerical examples are performed to validate the theoretical analysis and show the efficacy of the proposed scheme for option pricing with liquidity shocks.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Variable step-size IMEX scheme for a coupled semilinear parabolic system arising from option pricing with liquidity shocks

  • 期刊论文

  • 发表日期：

    2025年8月18日

查看全文
  • Yong Chen,
  • Xuewei Li,
  • Jianjun Ma

摘要

In this paper, we propose and analyze a linearized variable step-size scheme for a coupled semilinear parabolic partial differential equation (PDE) system arising from option pricing with liquidity shocks. First, we develop an implicit-explicit (IMEX) scheme on graded mesh for temporal discretization and finite difference method on nonuniform space grid for spatial discretization to solve the problem. The consistency errors of the proposed scheme are obtained. Moreover, the second-order convergence rates for both time and space are analyzed by the energy method. Numerical examples are performed to validate the theoretical analysis and show the efficacy of the proposed scheme for option pricing with liquidity shocks.