An alternating-direction implicit scheme for parabolic equations with mixed derivatives

DOI10.1016/0898-1221(88)90150-2zbMATH Open0654.65072OpenAlexW2051559783MaRDI QIDQ1108753FDOQ1108753

Authors: I. J. D. Craig, A. D. Sneyd 

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0898-1221(88)90150-2

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zbMATH Keywords

unconditional stabilityADI schemesconditional stabilitymixed derivativesalternating-direction implicit scheme

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Initial-boundary value problems for second-order parabolic equations (35K20) Stability and convergence of numerical methods for boundary value problems involving PDEs (65N12) Numerical solution of discretized equations for boundary value problems involving PDEs (65N22)

Cites Work

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Cited In (48)

• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives
• Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
• An alternating direction generalized trapezoidal formula scheme for parabolic differential equations in two space dimensions
• A numerical scheme for particle-laden thin film flow in two dimensions
• ADI schemes for valuing European options under the Bates model
• Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
• An ADI sparse grid method for pricing efficiently American options under the Heston model
• ADI schemes for pricing American options under the Heston model
• A parallel cyclic reduction algorithm for pentadiagonal systems with application to a convection-dominated Heston PDE
• A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme
• A robust spectral method for solving Heston's model
• AMF-type W-methods for parabolic problems with mixed derivatives
• A unified formulation of splitting-based implicit time integration schemes
• On multistep stabilizing correction splitting methods with applications to the Heston model
• On the multidimensional Black-Scholes partial differential equation
• Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms
• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation
• High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
• Title not available (Why is that?)
• High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
• On some numerical methods for solving 2D radial flow towards an oil well
• Numerical investigation of the parabolic mixed derivative diffusion equation via alternating direction implicit methods
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• PDE-W-methods for parabolic problems with mixed derivatives
• Modified Douglas splitting methods for reaction-diffusion equations
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach
• HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
• Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
• Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
• ADI schemes for higher-order nonlinear diffusion equations.
• Title not available (Why is that?)
• High-order-compact ADI schemes for pricing basket options in the combination technique
• On the first exit time of geometric Brownian motion from stochastic exponential boundaries
• An alternating direction implicit scheme for parabolic systems of partial differential equations
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
• ADI finite difference schemes for option pricing in the Heston model with correlation
• A multiscale algorithm for radiative heat transfer equation with rapidly oscillating coefficients
• Numerical analysis for spread option pricing model of markets with finite liquidity: first-order feedback model
• Power boundedness in the maximum norm of stability matrices for ADI methods
• W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms
• Adaptive \(\theta \)-methods for pricing American options
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Manycore algorithms for batch scalar and block tridiagonal solvers
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE

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