{"id":"https://openalex.org/W2982671062","doi":"https://doi.org/10.1080/00207160.2019.1685663","title":"Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models","display_name":"Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models","publication_year":2019,"publication_date":"2019-10-29","ids":{"openalex":"https://openalex.org/W2982671062","doi":"https://doi.org/10.1080/00207160.2019.1685663","mag":"2982671062"},"language":"en","primary_location":{"id":"doi:10.1080/00207160.2019.1685663","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2019.1685663","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5004621668","display_name":"Jingtang Ma","orcid":"https://orcid.org/0000-0002-5016-8368"},"institutions":[{"id":"https://openalex.org/I204831749","display_name":"Southwestern University of Finance and Economics","ror":"https://ror.org/04ewct822","country_code":"CN","type":"education","lineage":["https://openalex.org/I204831749"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jingtang Ma","raw_affiliation_strings":["School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, People's Republic of China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, People's Republic of China","institution_ids":["https://openalex.org/I204831749"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5048205235","display_name":"Yong Chen","orcid":"https://orcid.org/0000-0002-9590-4656"},"institutions":[{"id":"https://openalex.org/I102345215","display_name":"Xihua University","ror":"https://ror.org/04gwtvf26","country_code":"CN","type":"education","lineage":["https://openalex.org/I102345215"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yong Chen","raw_affiliation_strings":["School of Economics, Xihua University, Chengdu, People's Republic of China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics, Xihua University, Chengdu, People's Republic of China","institution_ids":["https://openalex.org/I102345215"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5004621668"],"corresponding_institution_ids":["https://openalex.org/I204831749"],"apc_list":null,"apc_paid":null,"fwci":0.5051,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.70077308,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":97},"biblio":{"volume":"97","issue":"11","first_page":"2210","last_page":"2232"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12727","display_name":"Differential Equations and Numerical Methods","score":0.9261000156402588,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.9010999798774719,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7514784336090088},{"id":"https://openalex.org/keywords/convergence","display_name":"Convergence (economics)","score":0.6921985745429993},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.6187664866447449},{"id":"https://openalex.org/keywords/rate-of-convergence","display_name":"Rate of convergence","score":0.49641329050064087},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.45193612575531006},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.42623552680015564},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3791794776916504},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3764849901199341},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.22811400890350342},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.17172279953956604},{"id":"https://openalex.org/keywords/key","display_name":"Key (lock)","score":0.07388302683830261}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7514784336090088},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.6921985745429993},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.6187664866447449},{"id":"https://openalex.org/C57869625","wikidata":"https://www.wikidata.org/wiki/Q1783502","display_name":"Rate of convergence","level":3,"score":0.49641329050064087},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.45193612575531006},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.42623552680015564},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3791794776916504},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3764849901199341},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.22811400890350342},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.17172279953956604},{"id":"https://openalex.org/C26517878","wikidata":"https://www.wikidata.org/wiki/Q228039","display_name":"Key (lock)","level":2,"score":0.07388302683830261},{"id":"https://openalex.org/C50522688","wikidata":"https://www.wikidata.org/wiki/Q189833","display_name":"Economic growth","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/00207160.2019.1685663","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00207160.2019.1685663","pdf_url":null,"source":{"id":"https://openalex.org/S124867444","display_name":"International Journal of Computer Mathematics","issn_l":"0020-7160","issn":["0020-7160","1026-7425","1029-0265"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computer Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.5}],"awards":[{"id":"https://openalex.org/G7719738676","display_name":null,"funder_award_id":"11671323","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1635779336","https://openalex.org/W1972871516","https://openalex.org/W1979130814","https://openalex.org/W1994397903","https://openalex.org/W1995775717","https://openalex.org/W2074812030","https://openalex.org/W2160044956","https://openalex.org/W2172280564","https://openalex.org/W2369386221","https://openalex.org/W2757851974","https://openalex.org/W2765235371","https://openalex.org/W2768971556","https://openalex.org/W2889428656","https://openalex.org/W2939256339","https://openalex.org/W3121484312","https://openalex.org/W3124671443","https://openalex.org/W3144801686","https://openalex.org/W4245879216"],"related_works":["https://openalex.org/W1517908938","https://openalex.org/W2281834912","https://openalex.org/W1489941249","https://openalex.org/W3123492739","https://openalex.org/W4320486059","https://openalex.org/W2494168571","https://openalex.org/W3121191496","https://openalex.org/W1550676882","https://openalex.org/W1992626918","https://openalex.org/W2033096984"],"abstract_inverted_index":{"The":[0,35],"aim":[1],"of":[2,11,51,63,81],"this":[3],"paper":[4,77],"is":[5,55],"to":[6,68],"study":[7],"the":[8,12,19,27,52,73,82,90,95],"convergence":[9,79],"rates":[10,80],"finite":[13],"difference":[14],"methods":[15],"(FDMs)":[16],"for":[17,39,88],"solving":[18,72,89],"PDEs":[20,36,65],"with":[21],"spatial":[22,48],"delays":[23,45],"which":[24,66],"arise":[25],"in":[26,46],"option":[28],"pricing":[29],"under":[30],"regime":[31,41],"switching":[32],"hard-to-borrow":[33],"models.":[34],"are":[37],"coupled":[38,64],"different":[40],"states":[42],"and":[43],"involve":[44],"two":[47],"directions.":[49],"One":[50],"boundary":[53],"conditions":[54],"implicitly":[56],"given":[57],"by":[58],"an":[59],"initial-boundary":[60],"value":[61],"problem":[62],"needs":[67],"be":[69],"solved":[70],"before":[71],"main":[74],"equations.":[75],"This":[76],"proves":[78],"FDM":[83],"based":[84],"on":[85],"mesh-dependent":[86],"expansions":[87],"problems.":[91],"Numerical":[92],"examples":[93],"confirm":[94],"theory.":[96]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2022,"cited_by_count":2}],"updated_date":"2026-08-15T07:11:24.734988","created_date":"2025-10-10T00:00:00"}