High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance

DOI10.1016/j.cam.2016.08.044zbMath1375.65113OpenAlexW2526347135MaRDI QIDQ2406636

Yanyan Li

Publication date: 5 October 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.08.044

zbMATH Keywords

numerical examplesparse gridsfinite differenceparabolic equationsalternating direction implicitcombination techniquebasket optionhigh-order-scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

Related Items (14)

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU ⋮ High-order compact difference method for two-dimension elliptic and parabolic equations with mixed derivatives ⋮ PDE-W-methods for parabolic problems with mixed derivatives ⋮ High-order compact finite difference scheme for option pricing in stochastic volatility jump models ⋮ Multigrid treatment of implicit continuum diffusion ⋮ A new high-order compact ADI finite difference scheme for solving 3D nonlinear Schrödinger equation ⋮ Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model ⋮ AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model ⋮ PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique ⋮ AMFR-W Numerical Methods for Solving High-Dimensional SABR/LIBOR PDE Models ⋮ Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU ⋮ AMF-type W-methods for Parabolic Problems with Mixed Derivatives ⋮ W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms ⋮ A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme

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