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Listar por palabra clave "Semi-discretization"

Mostrando ítems 1-2 de 2

An ETD Method for American Options under the Heston Model

Company Rossi, Rafael; Egorova, Vera N.; Jódar Sánchez, Lucas Antonio; Fuster Valls, Ferran (TECH SCIENCE PRESS, 4924 BALBOA BLVD, # 488, ENCINO, USA, CA, 91316, 2020)

[EN] A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed. A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical ...
Conditional full stability of positivity-preserving finite difference scheme for diffusion advection-reaction models

Company Rossi, Rafael; Egorova, Vera; Jódar Sánchez, Lucas Antonio (Elsevier, 2018)

[EN] The matter of the stability for multidimensional diffusion-advection-reaction problems treated with the semi-discretization method is remaining challenge because when all the stepsizes tend simultaneously to zero the ...

Mostrando ítems 1-2 de 2