A second-order positivity preserving numerical method for gamma equation
From MaRDI portal
Publication:902565
DOI10.1016/j.amc.2013.06.082zbMath1329.91140OpenAlexW1984512783MaRDI QIDQ902565
Miglena N. Koleva, Lubin G. Vulkov
Publication date: 18 January 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.06.082
stabilityconvergencefinite volume methodinterfacepositivity preservinggamma equationvan Leer flux-limiter
Numerical methods (including Monte Carlo methods) (91G60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
Related Items
Analysis of second order difference schemes on non-uniform grids for quasilinear parabolic equations, Consistent two-sided estimates for the solutions of quasilinear parabolic equations and their approximations, Monotone difference schemes for weakly coupled elliptic and parabolic systems, Positivity preserving stochastic \(\theta\)-methods for selected SDEs, Monotone finite-difference schemes of second-order accuracy for quasilinear parabolic equations with mixed derivatives
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing
- Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
- Numerical analysis and simulation of option pricing problems modeling illiquid markets
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Positivity of Runge-Kutta and diagonally split Runge-Kutta methods
- A positive finite-difference advection scheme
- Towards the ultimate conservative difference scheme. II: Monotonicity and conservation combined in a second-order scheme
- High-resolution FEM-TVD schemes based on a fully multidimensional flux limiter
- A positivity-preserving finite element method for chemotaxis problems in 3D
- On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile
- A positive splitting method for mixed hyperbolic-parabolic systems
- A high-order compact method for nonlinear Black–Scholes option pricing equations of American options
- Finite Volume Schemes for Solving Nonlinear Partial Differential Equations in Financial Mathematics
- Numerical Methods for Non-Linear Black–Scholes Equations
- High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
- A Finite Volume Scheme for Nonlinear Degenerate Parabolic Equations
- Numerical techniques for the valuation of basket options and their Greeks