Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models

Author:

Bučková Zuzana,Ehrhardt Matthias,Günther Michael,Pólvora Pedro

Publisher

Springer International Publishing

Reference16 articles.

1. Alexander, C., Venkatramanan, A.: Analytic approximations for spread options. Available at SSRN 1012521, 2007

2. Barakat, H.Z., Clark, J.A.: On the solution of the diffusion equations by numerical methods. J. Heat Transf. 88(4), 421–427 (1966)

3. Bučková, Z., Ehrhardt, M., Günther, M.: Alternating direction explicit methods for convection diffusion equations. Acta Math. Univ. Comen. 84(2), 309–325 (2015)

4. Campbell, L.J., Yin, B.: On the stability of alternating-direction explicit methods for advection-diffusion equations. Numer. Methods Partial Differ. Equ. 23(6), 1429–1444 (2007)

5. Duffy, D.J.: Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach. John Wiley & Sons, Chichester (2013)

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