scientific article; zbMATH DE number 3560637
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Publication:4131550
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(81)- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- The development of Runge-Kutta methods for partial differential equations
- Maximum norm contractivity of discretization schemes for the heat equation
- Order barrier for low-storage DIRK methods with positive weights
- The examination of nonlinear stability and solvability of the algebraic equations for the implicit Taylor series method
- Construction of additive semi-implicit Runge-Kutta methods with low-storage requirements
- Efficient SSP low-storage Runge-Kutta methods
- Runge-Kutta vs Taylor-SPH: two time integration schemes for SPH with application to soil dynamics
- Solving periodic semilinear stiff PDEs in 1D, 2D and 3D with exponential integrators
- On iterated Crank-Nicolson methods for hyperbolic and parabolic equations
- Stabilization of the Lax-Wendroff method and a generalized one-step Runge-Kutta method for hyperbolic initial-value problems
- Construction of Higher-Order Accurate Time-Step Integration Algorithms by Equal-Order Polynomial Projection
- Increasing the real stability boundary of explicit methods
- Instability in Runge-Kutta schemes for simulation of oil recovery
- Time integration of three-dimensional numerical transport models
- On some new low storage implementations of time advancing Runge-Kutta methods
- SomeL-stable methods for stiff differential equations
- S-stability properties for generalized Runge-Kutta methods
- Global optimization of explicit strong-stability-preserving Runge-Kutta methods
- New stability theorems concerning one-step numerical methods for ordinary differential equations
- A principle for construction of one-step integration methods with maximum imaginary stability limits
- Modified Runge-Kutta-Fehlberg methods for periodic initial-value problems
- Weighting parameters for time-step integration algorithms with predetermined coefficients
- A low-order embedded Runge-Kutta method for periodic initial-value problems
- Parallel iteration of high-order Runge-Kutta methods with stepsize control
- A Runge-Kutta Fehlberg method with phase-lag of order infinity for initial-value problems with oscillating solution
- Some recent developments in numerical methods for transonic flows
- Super-time-stepping acceleration of explicit schemes for parabolic problems
- Runge-Kutta-Nyström interpolants for the numerical integration of special second-order peridic initial-value problems
- Comparing time integrators for parabolic equations in two space dimensions with a mixed derivative
- Numerical solution of retarded initial value problems: Local and global error and stepsize control
- The numerical solution of large systems of stiff IVPs for ODEs
- Stability and B-convergence of linearly implicit Runge-Kutta methods
- A note on the stability of CSDT methods for solving parabolic equations
- Stability of collocation-based Runge-Kutta-Nyström methods
- Stability of explicit time discretizations for solving initial value problems
- On the acceleration of explicit finite difference methods for option pricing
- Behind and beyond the MATLAB ODE suite
- ROW methods adapted to electric circuit simulation packages
- Block Runge-Kutta methods for periodic initial-value problems
- Variable-Stepsize Explicit Two-Step Runge-Kutta Methods
- A class of stabilized three-step Runge-Kutta methods for the numerical integration of parabolic equations
- Direct time integration methods in nonlinear structural dynamics
- Time stepping via one-dimensional Padé approximation
- Two classes of explicit generalized runge-kutta processes for non- stiff systems of ordinary differential equations
- Stability restrictions on time-stepsize for numerical integration of first-order partial differential equations
- New third order low-storage SSP explicit Runge-Kutta methods
- Convergence properties of the Runge-Kutta-Chebyshev method
- On time staggering for wave equations
- Accelerated convergence of Jameson's finite-volume Euler scheme using van der Houwen integrators
- Construction of explicit and generalized Runge-Kutta formulas of arbitrary order with rational parameters
- High order explicit methods for parabolic equations
- Many-stage optimal stabilized Runge-Kutta methods for hyperbolic partial differential equations
- Explicit methods for mildly stiff oscillatory systems
- An efficient conservative cut-cell method for rigid bodies interacting with viscous compressible flows
- OpenCL parallel integration of ordinary differential equations: applications in computational dynamics
- ROW methods adapted to a cheap Jacobian
- An L(alpha)-stable fourth order Rosenbrock method with error estimator
- A new class of explicit two-step fourth order methods for \(y=f(t,y)\) with extended intervals of periodicity
- Modeling low Mach number reacting flow with detailed chemistry and transport
- Towards optimal explicit time-stepping schemes for the gyrokinetic equations
- A study of Rosenbrock-type methods of high order
- B-convergence results for linearly implicit one step methods
- Solution of the Euler equations for two dimensional transonic flow by a multigrid method
- Some new two-step integration methods
- A Runge-Kutta-Nyström method for the numerical integration of special second-order periodic initial-value problems
- Convergence acceleration of Runge-Kutta schemes for solving the Navier-Stokes equations
- Explicit Runge-Kutta methods for parabolic partial differential equations
- A class of high-order Runge-Kutta-Chebyshev stability polynomials
- Accurate numerical approximations to initial value problems with periodical solutions
- Improved solution methods for inelastic rate problems
- Variable coefficient \(A\)-stable explicit Runge-Kutta methods
- Note on explicit parallel multistep Runge-Kutta methods
- Stability of two-dimensional model problems for multiblock structured fluid-dynamics calculations
- Error growth analysis via stability regions for discretizations of initial value problems
- High order difference schemes with reduced dispersion for hyperbolic differential equations
- Low-storage, explicit Runge-Kutta schemes for the compressible Navier-Stokes equations
- A minimum configuration fourth-order nonautonomous explicit Rosenbrock method for nonstiff differential equations
- On the economization of explicit Runge-Kutta methods
- On generalized linear multistep methods with zero-parasitic roots and an adaptive principal root
- Modified Runge-Kutta Verner methods for the numerical solution of initial and boundary-value problems with engineering applications
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