Implicit-explicit Runge-Kutta methods for financial derivatives pricing models (Q819096): Difference between revisions

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-Javier de Frutos
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+https://doi.org/10.1016/j.ejor.2005.01.013
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+Implicit-explicit Runge-Kutta methods for time-dependent partial differential equations
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+Q4531674
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+Linearly implicit Runge-Kutta methods for advection-reaction-diffusion equations
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+Order conditions for numerical methods for partitioned ordinary differential equations
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+Variational inequalities and the pricing of American options
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Additive Runge-Kutta schemes for convection-diffusion-reaction equations
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+Effect of numerical integration for elliptic obstacle problems
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+On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics
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+Some mathematical results in the pricing of American options
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+Shout options: A framework for pricing contracts which can be modified by the investor
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+Penalty methods for American options with stochastic volatility
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+Publication:819096