Two new classes of finite difference schemes are applied to the numerical solution of parabolic partial differential equations. The formulae derived are self starting, are at least second order in ...
This is a preview. Log in through your library . Abstract A strong maximum principle for second order parabolic equations has been introduced by L. Nirenberg. The present paper contains both strong ...
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 ...
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