Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q554616): Difference between revisions

@@ Property / OpenAlex ID @@
+W2019955971
@@ Property / OpenAlex ID: W2019955971 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.6528
@@ Property / arXiv ID: 1011.6528 / rank @@
+Normal rank
@@ Property / cites work @@
+An alternating-direction implicit scheme for parabolic equations with mixed derivatives
+Normal rank
@@ Property / cites work @@
+ADI finite difference schemes for option pricing in the Heston model with correlation
+Normal rank
@@ Property / cites work @@
+Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
+Normal rank
@@ Property / cites work @@
+Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
+Normal rank
@@ Property / cites work @@
+Q4421310
@@ Property / cites work: Q4421310 / rank @@
+Normal rank
@@ Property / cites work @@
+Operator splitting methods for pricing American options under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative
+Normal rank
@@ Property / cites work @@
+An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms
+Normal rank
@@ Property / cites work @@
+Q3208026
@@ Property / cites work: Q3208026 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank