Pages that link to "Item:Q2406636"

The following pages link to High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance (Q2406636):

Displaying 15 items.

• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• PDE-W-methods for parabolic problems with mixed derivatives (Q1652804) (← links)
• A new high-order compact ADI finite difference scheme for solving 3D nonlinear Schrödinger equation (Q1713527) (← links)
• PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique (Q1732425) (← links)
• High-order compact difference method for two-dimension elliptic and parabolic equations with mixed derivatives (Q2143697) (← links)
• AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model (Q2223823) (← links)
• Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
• Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model (Q4626522) (← links)
• AMF-type W-methods for Parabolic Problems with Mixed Derivatives (Q4683933) (← links)
• W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms (Q5014042) (← links)
• A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646) (← links)
• AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models (Q5147983) (← links)
• Multigrid treatment of implicit continuum diffusion (Q6160288) (← links)
• High order ADI splitting scheme for stochastic volatility model with jump (Q6665171) (← links)