ESTIMATION OF DOMAIN TRUNCATION ERROR FOR A SYSTEM OF PDES ARISING IN OPTION PRICING

Battle Count: 24

The paper provides important theoretical foundations for improving the accuracy of option pricing models in regime-switching environments, which is relevant for quantitative trading strategies involving options.

The implementation of the proposed methods requires advanced knowledge of partial differential equations and numerical methods, making it relatively complex for practical application.

The paper provides detailed mathematical proofs and derivations, making the theoretical results reproducible. Numerical examples are also included, but full implementation details are not provided.