On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs-Reference-Cited by-同舟云学术

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On a sparse and stable solver on graded meshes for solving high-dimensional parabolic pricing PDEs

Published:2023-08 Issue: Volume:143 Page:224-233
ISSN:0898-1221
Container-title:Computers & Mathematics with Applications
language:en
Short-container-title:Computers & Mathematics with Applications

Author:

Song Yanlai,Ullah Malik Zaka

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Modeling and Simulation

Reference31 articles.

1. Computational Methods for Option Pricing;Achdou,2005

2. Selected financial applications;Adhikari;Mathematica J.,2021

3. How to construct a fourth-order scheme for Heston-Hull-White equation?;Akgül;AIP Conf. Proc.,2019

4. Accuracy analysis of the fundamental finite-difference methods on non-uniform grids;Babucke,2009

5. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach;Duffy,2006

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1. Global Classical Solutions of the 1.5D Relativistic Vlasov–Maxwell–Chern–Simons System;Axioms;2023-06-25

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