Pages that link to "Item:Q1108753"

The following pages link to An alternating-direction implicit scheme for parabolic equations with mixed derivatives (Q1108753):

Displaying 44 items.

• Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach (Q470658) (← links)
• A numerical scheme for particle-laden thin film flow in two dimensions (Q551057) (← links)
• Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q554616) (← links)
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
• Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility (Q654788) (← links)
• A multiscale algorithm for radiative heat transfer equation with rapidly oscillating coefficients (Q669342) (← links)
• Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms (Q857022) (← links)
• Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q898943) (← links)
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
• An alternating direction implicit scheme for parabolic systems of partial differential equations (Q922647) (← links)
• Adaptive \(\theta \)-methods for pricing American options (Q952094) (← links)
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms (Q1007389) (← links)
• On some numerical methods for solving 2D radial flow towards an oil well (Q1300485) (← links)
• PDE-W-methods for parabolic problems with mixed derivatives (Q1652804) (← links)
• A new stability result for the modified Craig-Sneyd scheme applied to two-dimensional convection-diffusion equations with mixed derivatives (Q1733474) (← links)
• ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
• On the first exit time of geometric Brownian motion from stochastic exponential boundaries (Q1794706) (← links)
• ADI schemes for higher-order nonlinear diffusion equations. (Q1874225) (← links)
• Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (Q2004605) (← links)
• Stability and error analysis of an implicit Milstein finite difference scheme for a two-dimensional Zakai SPDE (Q2009114) (← links)
• Power boundedness in the maximum norm of stability matrices for ADI methods (Q2045166) (← links)
• A unified formulation of splitting-based implicit time integration schemes (Q2134544) (← links)
• A robust spectral method for solving Heston's model (Q2247922) (← links)
• On the multidimensional Black-Scholes partial differential equation (Q2288905) (← links)
• Modified Douglas splitting methods for reaction-diffusion equations (Q2359748) (← links)
• High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance (Q2406636) (← links)
• Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms (Q2448368) (← links)
• High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique (Q2634317) (← links)
• HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs (Q2947344) (← links)
• Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk (Q4554240) (← links)
• High-Order-Compact ADI Schemes for Pricing Basket Options in the Combination Technique (Q4626514) (← links)
• ADI Schemes for Pricing American Options under the Heston Model (Q4682480) (← links)
• AMF-type W-methods for Parabolic Problems with Mixed Derivatives (Q4683933) (← links)
• (Q4954158) (← links)
• A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE (Q4997346) (← links)
• W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms (Q5014042) (← links)
• A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646) (← links)
• A class of explicit–implicit alternating parallel difference methods for the two-dimensional Black–Scholes equation (Q5031315) (← links)
• An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model (Q5157093) (← links)
• Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model (Q5175480) (← links)
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (Q5247272) (← links)
• Manycore Algorithms for Batch Scalar and Block Tridiagonal Solvers (Q5270760) (← links)
• On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model (Q5745130) (← links)
• ADI finite difference schemes for option pricing in the Heston model with correlation (Q5862255) (← links)