A free-boundary formulation is considered for the price of American options under jump-diffusion models with finite jump activity. On the free boundary a Cauchy boundary condition holds, due to the ...
SIAM Journal on Numerical Analysis, Vol. 26, No. 6 (Dec., 1989), pp. 1474-1486 (13 pages) An explicit finite difference algorithm is developed to approximate the solution of a nonlinear and nonlocal ...
SIAM Journal on Numerical Analysis, Vol. 49, No. 1/2 (2011), pp. 845-868 (24 pages) We bound the difference between the solution to the continuous Rudin—Osher—Fatemi (ROF) image smoothing model and ...
In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...
What Are FEM, FDM and FVM? FEM, FDM and FVM differ from one another in important ways. Understanding these distinctions is key to selecting the method most appropriate for your purposes. The ...
The IMEX schemes apply the implicit temporal method to only a small portion of the domain and use explicit calculations elsewhere, based on a convenient splitting algorithm. IMEX methods effectively ...
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