High order splitting schemes with complex timesteps and their application in mathematical finance

DOI10.1016/J.CAM.2013.07.037zbMath1301.65002arXiv1210.5392OpenAlexW2118865290MaRDI QIDQ2252368

Philipp Dörsek, Eskil Hansen

Publication date: 17 July 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5392

zbMATH Keywords

splitting methodsmathematical financecomplex coefficientsconvection-dominated problemsinterest rate theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

A class of high-order Runge-Kutta-Chebyshev stability polynomials

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