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Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model

机译:难借模型下具有期权定价的时滞偏微分方程的数值方法

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This paper studies the numerical methods for solving a partial differential equation (PDE) with spatial delay arising in option pricing under hard-to-borrow model. A new expansion approach is introduced to deal with the spatial delay term. Then a modified finite difference method is proposed to discretize the PDEs. Moreover the modified Laplace transform method on the expansion is studied and compared with the time-stepping finite difference method. (C) 2018 Elsevier Ltd. All rights reserved.
机译:本文研究了在难以借贷的情况下求解期权定价中存在空间滞后的偏微分方程(PDE)的数值方法。引入了一种新的扩展方法来处理空间延迟项。然后提出了一种改进的有限差分法来离散化偏微分方程。此外,研究了关于扩展的改进拉普拉斯变换方法,并将其与时步有限差分法进行了比较。 (C)2018 Elsevier Ltd.保留所有权利。

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