This paper studies an implicit-explicit (IMEX) finite difference scheme for solving a system of moving boundary partial integro-differential equations (PIDEs) which arises in Asian option pricing under regime-switching jump-diffusion models. First, the moving boundary PIDEs are recast into a fixed boundary problem of the PIDEs. Then the IMEX scheme is proposed to solve the problem and the second-order convergence rates are proved. Numerical examples are carried out to validate the theoretical results.

中文翻译：

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体制转换跳跃扩散模型下亚洲期权定价偏积分微分方程组的二阶 IMEX 方案

本文研究了一种隐式显式 (IMEX) 有限差分格式，用于求解在状态转换跳跃扩散模型下亚洲期权定价中出现的移动边界偏积分微分方程 (PIDE) 系统。首先，将移动边界 PIDE 重铸为 PIDE 的固定边界问题。然后提出IMEX方案来解决该问题，并证明了二阶收敛速度。数值算例进行了验证理论结果。