Wavelet-optimized compact finite difference method for convection-diffusion equations
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Cites work
- A dimension reduction Shannon-wavelet based method for option pricing
- A fast adaptive diffusion wavelet method for Burger's equation
- A highly efficient Shannon wavelet inverse Fourier technique for pricing European options
- A numerical study of Asian option with high-order compact finite difference scheme
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A stencil of the finite-difference method for the 2D convection diffusion equation and its new iterative scheme
- A system of non-local parabolic PDE and application to option pricing
- Algorithm 986: A suite of compact finite difference schemes
- An adaptive mesh strategy for singularly perturbed convection diffusion problems
- Compact finite difference schemes on non-uniform meshes. Application to direct numerical simulations of compressible flows
- Compact finite difference schemes with spectral-like resolution
- Derivation of high-order compact finite difference schemes for non-uniform grid using polynomial interpolation
- Diffusion wavelets
- Fast diffusion wavelet method for partial differential equations
- Fast wavelet-Taylor Galerkin method for linear and non-linear wave problems
- Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients
- Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
- High-order compact finite difference scheme for pricing Asian option with moving boundary condition
- High-order compact finite-difference scheme for singularly-perturbed reaction-diffusion problems on a new mesh of Shishkin type
- scientific article; zbMATH DE number 2152342 (Why is no real title available?)
- Numerical methods for time-dependent convection-diffusion equations
- Numerical Methods in Finance and Economics
- Numerical pricing of options using high-order compact finite difference schemes
- Option pricing in a regime switching stochastic volatility model
- Pricing derivatives in a regime switching market with time inhomogenous volatility
- Robust pricing of European options with wavelets and the characteristic function
- Smoothing of initial data and rates of convergence for parabolic difference equations
- Ten Lectures on Wavelets
- The pricing of options and corporate liabilities
- Wavelet multilayer Taylor Galerkin schemes for hyperbolic and parabolic problems
- WAVELET OPTIMIZED VALUATION OF FINANCIAL DERIVATIVES
- Wavelet-based option pricing: an empirical study
- Wavelets theory and its applications. A first course
Cited in
(9)- Wavelet optimized finite difference method using interpolating wavelets for self-adjoint singularly perturbed problems
- Numerical methods for time-fractional convection-diffusion problems with high-order accuracy
- Wavelet based solution of flow and diffusion problems in digital materials
- scientific article; zbMATH DE number 7459003 (Why is no real title available?)
- Multilevel numerical solutions of convection-dominated diffusion problems by spline wavelets
- An uncertainty measure based on Pearson correlation as well as a multiscale generalized Shannon-based entropy with financial market applications
- Numerical solution of variable‐order stochastic fractional integro‐differential equation with a collocation method based on Müntz–Legendre polynomial
- Legendre wavelet method for solving variable-order nonlinear fractional optimal control problems with variable-order fractional Bolza cost
- An efficient meshless technique for 2-d hyperbolic convection-diffusion problem
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