{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,16]],"date-time":"2025-12-16T12:52:05Z","timestamp":1765889525167,"version":"build-2065373602"},"reference-count":18,"publisher":"Springer Science and Business Media LLC","issue":"S2","license":[{"start":{"date-parts":[[2025,8,18]],"date-time":"2025-08-18T00:00:00Z","timestamp":1755475200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2025,8,18]],"date-time":"2025-08-18T00:00:00Z","timestamp":1755475200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["J. Appl. Math. Comput."],"published-print":{"date-parts":[[2025,11]]},"DOI":"10.1007\/s12190-025-02622-w","type":"journal-article","created":{"date-parts":[[2025,8,18]],"date-time":"2025-08-18T13:35:43Z","timestamp":1755524143000},"page":"1689-1709","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Variable step-size IMEX scheme for a coupled semilinear parabolic system arising from option pricing with liquidity shocks"],"prefix":"10.1007","volume":"71","author":[{"given":"Yong","family":"Chen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xuewei","family":"Li","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jianjun","family":"Ma","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2025,8,18]]},"reference":[{"key":"2622_CR1","doi-asserted-by":"crossref","unstructured":"Ludkovski, M., Shen, Q.: European option pricing with liquidity shocks. Int. J. Theor. Appl. Finance. 16, 1350043 (2013)","DOI":"10.1142\/S021902491350043X"},{"key":"2622_CR2","doi-asserted-by":"publisher","first-page":"768","DOI":"10.1080\/00207160.2024.2383757","volume":"101","author":"A. Kumar","year":"2024","unstructured":"Kumar, A., Rakshit, G., Yadav, D.K., Yadav, R.: RBF-based IMEX finite difference schemes for pricing option under liquidity switching. Int J Comput. Math. 101, 768\u2013788 (2024)","journal-title":"Int J Comput Math"},{"key":"2622_CR3","doi-asserted-by":"publisher","first-page":"245","DOI":"10.1016\/j.cam.2015.11.049","volume":"299","author":"W. Mudzimbabwe","year":"2016","unstructured":"Mudzimbabwe, W., Vulkov, L.: IMEX schemes for a parabolic-ODE system of European options with liquidity shocks. J. Comput. Appl. Math. 299, 245\u2013256 (2016)","journal-title":"J. Comput. Appl. Math."},{"key":"2622_CR4","doi-asserted-by":"publisher","first-page":"59","DOI":"10.1007\/s11075-016-0138-3","volume":"74","author":"M.N. Koleva","year":"2017","unstructured":"Koleva, M.N., Mudzimbabwe, W., Vulkov, L.G.: Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model. Numer. Algorithms. 74, 59\u201375 (2017)","journal-title":"Numer. Algorithms."},{"key":"2622_CR5","doi-asserted-by":"publisher","first-page":"28","DOI":"10.1016\/j.camwa.2024.04.002","volume":"165","author":"A. Singh","year":"2024","unstructured":"Singh, A., Maurya, V., Rajpoot, M.K.: Numerical analysis and simulation of European options under liquidity shocks: a coupled semilinear system approach with new IMEX methods. Comput. Math. Appl. 165, 28\u201338 (2024)","journal-title":"Comput. Math. Appl."},{"key":"2622_CR6","doi-asserted-by":"publisher","first-page":"1823","DOI":"10.1007\/s11075-021-01174-x","volume":"89","author":"Y. Chen","year":"2022","unstructured":"Chen, Y.: Second-order IMEX scheme for a system of partial integro-differential equations from Asian option pricing under regime-switching jump-diffusion models. Numer. Algorithms. 89, 1823\u20131843 (2022)","journal-title":"Numer. Algorithms."},{"key":"2622_CR7","doi-asserted-by":"publisher","first-page":"2397","DOI":"10.1007\/s10614-024-10642-0","volume":"65","author":"Y. Chen","year":"2025","unstructured":"Chen, Y., Li, L.L.: An efficient IMEX compact scheme for the coupled time fractional integro-differential equations arising from option pricing with jumps. Comput. Econ. 65, 2397\u20132422 (2025)","journal-title":"Comput. Econ."},{"key":"2622_CR8","doi-asserted-by":"publisher","first-page":"2598","DOI":"10.1137\/090777529","volume":"49","author":"Y. Kwon","year":"2011","unstructured":"Kwon, Y., Lee, Y.: A second-order finite difference method for option pricing under jump-diffusion models. SIAM J Numer. Anal. 49, 2598\u20132617 (2011)","journal-title":"SIAM J Numer Anal"},{"key":"2622_CR9","doi-asserted-by":"publisher","first-page":"979","DOI":"10.1007\/s10915-015-0001-z","volume":"65","author":"M.K. Kadalbajoo","year":"2015","unstructured":"Kadalbajoo, M.K., Tripathi, L.P., Kumar, K.: Second order accurate IMEX methods for option pricing under Merton and kou jump-diffusion model. J. Sci. Comput. 65, 979\u20131024 (2015)","journal-title":"Journal Of Scientific Computing"},{"key":"2622_CR10","doi-asserted-by":"publisher","first-page":"1079","DOI":"10.1002\/num.20677","volume":"28","author":"S.T. Lee","year":"2012","unstructured":"Lee, S.T., Sun, H.W.: Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model. Numer. Methods Partial Differ. Equ. 28, 1079\u20131098 (2012)","journal-title":"Numer Methods Partial Differ Equ"},{"key":"2622_CR11","doi-asserted-by":"publisher","first-page":"392","DOI":"10.1016\/j.camwa.2014.06.015","volume":"68","author":"Y.H. Lee","year":"2014","unstructured":"Lee, Y.H.: Financial options pricing with regime-switching jump-diffusions. Comput. Math. Appl. 68, 392\u2013404 (2014)","journal-title":"Comput. Math. Appl."},{"key":"2622_CR12","doi-asserted-by":"publisher","first-page":"2646","DOI":"10.1002\/mma.5539","volume":"42","author":"Y.Z. Chen","year":"2019","unstructured":"Chen, Y.Z., Xiao, A.G., Wang, W.S.: An IMEX-BDF2 compact scheme for pricing options under regime-switching jump-diffusion models. Mathematical Methods in the Applied Sciences 42, 2646\u20132663 (2019)","journal-title":"Mathematical Methods In The Applied Sciences"},{"key":"2622_CR13","doi-asserted-by":"publisher","first-page":"762","DOI":"10.1002\/mma.9682","volume":"47","author":"M.L. Mao","year":"2024","unstructured":"Mao, M.L., Tian, H.J., Wang, W.S.: A variable step-size extrapolated Crank-Nicolson method for option pricing under stochastic volatility model with jump. Mathematical Methods in the Applied Sciences 47, 762\u2013781 (2024)","journal-title":"Mathematical Methods In The Applied Sciences"},{"key":"2622_CR14","doi-asserted-by":"publisher","first-page":"1289","DOI":"10.1137\/18M1194328","volume":"57","author":"W.S. Wang","year":"2019","unstructured":"Wang, W.S., Chen, Y.Z., Fang, H.: On the variable two-step IMEX BDF method for parabolic integro-differential equations with nonsmooth initial data arising in finance. SIAM J Numer Anal. 57, 1289\u20131317 (2019)","journal-title":"SIAM J Numer Anal"},{"key":"2622_CR15","doi-asserted-by":"publisher","first-page":"913","DOI":"10.1051\/m2an\/2021012","volume":"55","author":"W.S. Wang","year":"2021","unstructured":"Wang, W.S., Mao, M.L., Wang, Z.: An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function. ESAIM: Math. Modell. and Numer. Anal. 55, 913\u2013938 (2021)","journal-title":"ESAIM: Math. Modell. And Numer. Anal."},{"key":"2622_CR16","doi-asserted-by":"publisher","first-page":"296","DOI":"10.1093\/imanum\/drs050","volume":"34","author":"K.J. Hout","year":"2014","unstructured":"Hout, K.J., Volders, K.: Stability and convergence analysis of discretizations of the black-scholes PDE with the linear boundary condition. IMA J. Numer. Anal. 34, 296\u2013325 (2014)","journal-title":"IMA J. Numer. Anal."},{"key":"2622_CR17","doi-asserted-by":"publisher","DOI":"10.1057\/978-1-137-43569-9","volume-title":"Numerical Partial Differential Equations in Finance Explained: an Introduction to Computational Finance","author":"K.J. Hout","year":"2017","unstructured":"Hout, K.J.: Numerical partial differential equations in finance explained: an introduction to computational finance. Springer, London (2017)"},{"key":"2622_CR18","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1137\/0730001","volume":"30","author":"R.E. Bank","year":"1993","unstructured":"Bank, R.E., Santos, R.F.: Analysis of some moving space-time finite element methods. SIAM J Numer. Anal. 30, 1\u201318 (1993)","journal-title":"SIAM J Numer Anal"}],"container-title":["Journal of Applied Mathematics and Computing"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s12190-025-02622-w.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s12190-025-02622-w\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s12190-025-02622-w.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,28]],"date-time":"2025-10-28T22:36:03Z","timestamp":1761690963000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s12190-025-02622-w"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,8,18]]},"references-count":18,"journal-issue":{"issue":"S2","published-print":{"date-parts":[[2025,11]]}},"alternative-id":["2622"],"URL":"https:\/\/doi.org\/10.1007\/s12190-025-02622-w","relation":{},"ISSN":["1598-5865","1865-2085"],"issn-type":[{"type":"print","value":"1598-5865"},{"type":"electronic","value":"1865-2085"}],"subject":[],"published":{"date-parts":[[2025,8,18]]},"assertion":[{"value":"2 February 2025","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"19 May 2025","order":2,"name":"revised","label":"Revised","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"7 August 2025","order":3,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"18 August 2025","order":4,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Declarations"}},{"value":"The authors declare that they have no conflict of interest.","order":2,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflict of interest"}}]}}