Nonconforming least-squares spectral element method for European options

DOI10.1016/J.CAMWA.2015.04.019zbMath1443.65247OpenAlexW224521294MaRDI QIDQ2007189

Arbaz Khan, Pravir K. Dutt, Chandra Shekhar Upadhyay

Publication date: 12 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2015.04.019

zbMATH Keywords

least-squares methoddomain decompositionBlack-Scholes equationexponential accuracyparallel preconditionersHermite mollifier

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (6)

Multidomain Legendre-Galerkin Chebyshev collocation least squares method for one-dimensional problems with two nonhomogeneous jump conditions ⋮ Nonconforming spectral element method: a friendly introduction in one dimension and a short review in higher dimensions ⋮ Exponentially accurate nonconforming least-squares spectral element method for elliptic problems on unbounded domain ⋮ Spectral element method for parabolic initial value problem with non-smooth data: analysis and application ⋮ Spectral element method for parabolic interface problems ⋮ Spectral method and spectral element method for three dimensional linear elliptic system: analysis and application

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