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scientific article; zbMATH DE number 7099539

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7099539

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scholarly article

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zbMATH Open document ID

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Muhammad Asif Gondal

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Inayatur Rehman

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publication date

29 August 2019

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full work available at URL

https://www.ejpam.com/index.php/ejpam/article/view/3423

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

exponential integrators

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Runge-Kutta methods

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integro-differential equations

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MaRDI profile type

MaRDI publication profile

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Numerical valuation of options with jumps in the underlying

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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Exponential time integration and Chebychev discretisation schemes for fast pricing of options

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Exponential Rosenbrock integrators for option pricing

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Geometric theory of semilinear parabolic equations

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Explicit Exponential Runge--Kutta Methods for Semilinear Parabolic Problems

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Exponential Runge-Kutta methods for parabolic problems.

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Exponential integrators

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Comparative performance of exponential, implicit, and explicit integrators for stiff systems of ODEs

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Runge-Kutta time discretization of reaction-diffusion and Navier-Stokes equations: Nonsmooth-data error estimates and applications to long-time behaviour

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Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory

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Option pricing when underlying stock returns are discontinuous

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Non-smooth data error estimates for linearly implicit Runge-Kutta methods

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Semigroups of linear operators and applications to partial differential equations

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Semidiscretization in Time for Parabolic Problems

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Further development of efficient and accurate time integration schemes for meteorological models

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Exponential collocation methods for conservative or dissipative systems

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Mathematics(1 entry)

mardi Publication:5230864

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