Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term

DOI10.1016/j.matcom.2011.04.004zbMath1219.65063arXiv1011.6528OpenAlexW2019955971MaRDI QIDQ554616

Jianyong Qiao, Sumit K. Garg

Publication date: 4 August 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.6528

zbMATH Keywords

initial-boundary value problemsconvection-diffusion equationsmethod-of-linesADI splitting schemesvon Neumann stability analysis

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical methods for stiff equations (65L04)

Related Items (17)

Modified Douglas splitting methods for reaction-diffusion equations ⋮ High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance ⋮ Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term ⋮ Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms ⋮ High-Order-Compact ADI Schemes for Pricing Basket Options in the Combination Technique ⋮ Operator splitting schemes for the two-asset Merton jump-diffusion model ⋮ A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives ⋮ Operator splitting schemes for American options under the two-asset Merton jump-diffusion model ⋮ Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU ⋮ ADI schemes for valuing European options under the Bates model ⋮ Flux-splitting schemes for parabolic equations with mixed derivatives ⋮ Discretization of second-order ordinary differential equations with symmetries ⋮ On Multistep Stabilizing Correction Splitting Methods with Applications to 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 ⋮ Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes ⋮ A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme

Cites Work

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• Operator splitting methods for pricing American options under stochastic volatility
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• An alternating-direction implicit scheme for parabolic equations with mixed derivatives
• Stochastic calculus for finance. II: Continuous-time models.
• An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms
• Alternating direction methods for parabolic equations in two space dimensions with a mixed derivative
• ADI finite difference schemes for option pricing in the Heston model with correlation

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