AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model

DOI10.1016/J.CAM.2019.112518zbMath1458.65107OpenAlexW2979367399WikidataQ127066425 ScholiaQ127066425MaRDI QIDQ2223823

S. González-Pinto, D. Hernández-Abreu, S. Pérez-Rodríguez

Publication date: 3 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112518

zbMATH Keywords

finite difference methodunconditional stabilityHeston modelhomogeneous boundary conditionsconvection-diffusion partial differential equations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Higher-order hyperbolic equations (35L25)

Related Items (3)

A unified formulation of splitting-based implicit time integration schemes ⋮ AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models ⋮ Convergence in the maximum norm of ADI-type methods for parabolic problems

Uses Software

• RODAS

Cites Work

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