High order splitting schemes with complex timesteps and their application in mathematical finance
DOI10.1016/j.cam.2013.07.037zbMath1301.65002arXiv1210.5392OpenAlexW2118865290MaRDI QIDQ2252368
Publication date: 17 July 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.5392
splitting methodsmathematical financecomplex coefficientsconvection-dominated problemsinterest rate theory
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical solutions to stochastic differential and integral equations (65C30)
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