We present a finite difference method for solving parabolic partial integro-differential equations with possibly singular kernels which arise in option pricing theory when the random evolution of the ...

The valuation of financial derivatives continues to evolve, with option pricing models remaining a cornerstone of modern quantitative finance. Traditional frameworks, such as the Black–Scholes model, ...

Journal of Computational Mathematics, Vol. 34, No. 3 (May 2016), pp. 240-261 (22 pages) This paper studies the convergence rates of a moving mesh implicit finite difference method with interpolation ...