Operator splitting kernel based numerical method for a generalized Leland's model
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- A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
- A positive splitting method for mixed hyperbolic-parabolic systems
- Fast direct solvers for the heat equation in simple geometries
- Handbook of linear equations of mathematical physics.
- High-resolution FEM-TVD schemes based on a fully multidimensional flux limiter
- Numerical solution via transformation methods of nonlinear models in option pricing
- On splitting-based numerical methods for convection-diffusion equations
- On splitting-based numerical methods for nonlinear models of European options
- On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs
- Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
- Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
- Towards the ultimate conservative difference scheme. II: Monotonicity and conservation combined in a second-order scheme
Cited in
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