In this paper, we investigate the convergence of the tamed Euler-Maruyama (EM) scheme for a class of neutral stochastic differential delay equations. The strong convergence results of the tamed EM scheme are presented under global and local non-Lipschitz conditions, respectively. Moreover, under a global Lipschitz condition, we provide the rate of the convergence of tamed EM, which is smaller than the rate convergence of classical EM scheme one half.

This paper investigates the pricing formula for barrier options where the underlying asset is driven by the sub-mixed fractional Brownian motion with jump. By applying the corresponding Ito^’s formula, the B-S type PDE is derived by a self-financing strategy. Furthermore, the explicit pricing formula for barrier options is obtained through converting the PDE to the Cauchy problem. Numerical experiments are conducted to test the impact of the barrier price, the Hurst index, the jump intensity and the volatility on the value of barrier option respectively.

In this paper, we are concerned with the convergence rate of Euler–Maruyama (EM) scheme for stochastic differential delay equations (SDDEs) of neutral type, where the neutral, drift, and diffusion terms are allowed to be of polynomial growth. More precisely, for SDDEs of neutral type driven by Brownian motions, we reveal that the convergence rate of the corresponding EM scheme is one-half; Whereas for SDDEs of neutral type driven by pure jump processes, we show that the best convergence rate of the associated EM scheme is slower than one-half. As a result, the convergence rate of general SDDEs of neutral type, which is dominated by pure jump process, is slower than one-half.

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