This paper concerns the numerical valuation of swing options with discrete action times under a linear two-factor mean-reverting model with jumps. The resulting sequence of two-dimensional partial integro-differential equations (PIDEs) are convection-dominated and possess a nonlocal integral term due to the presence of jumps. Further, the initial function is nonsmooth. We propose various second-order numerical methods that can adequately handle these challenging features. The stability and convergence of these numerical methods are analysed theoretically. By ample numerical experiments, we confirm their second-order convergence behaviour.

翻译：本文研究在具有跳跃的线性双因子均值回归模型下，离散行权时间的摆动期权的数值定价问题。由此产生的一系列二维偏积分-微分方程（PIDEs）具有对流占优特性，并因跳跃项的存在而包含非局部积分项。此外，初始函数是非光滑的。我们提出了多种能够有效处理这些挑战性特征的二阶数值方法，并从理论上分析了这些数值方法的稳定性与收敛性。通过大量数值实验，我们验证了其具备二阶收敛特性。