On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
https://epubs.siam.org/doi/pdf/10.1137/17M1146026
Reference28 articles.
1. Simple and efficient simulation of the Heston stochastic volatility model
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4. Higher-order in time “quasi-unconditionally stable” ADI solvers for the compressible Navier–Stokes equations in 2D and 3D curvilinear domains
5. Une m�thode multipas implicite-explicite pour l'approximation des �quations d'�volution paraboliques
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