High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/140974833
Reference19 articles.
1. Convergence of Fourth Order Compact Difference Schemes for Three‐Dimensional Convection‐Diffusion Equations
2. High-order compact finite difference scheme for option pricing in stochastic volatility models
3. High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
4. High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
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