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Alternating Direction Explicit Method for a Nonlinear Model in Finance
2021In this article, at first standard linear Black-Scholes model and then some nonlinear Black-Scholes models will be considered and thereupon alternating direction explicit (ADE) method is applied firstly for solving the standard Black-Scholes model and then for Barles and Soner model which is one of the most complete and comprehensive nonlinear Black ...
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AIP Conference Proceedings, 2016
In this work we propose Alternating Direction Explicit (ADE) schemes for the two and three dimensional linear Black-Scholes pricing model. Our implemented methodology can be easily extended to higher dimensions. The main advantage of ADE schemes is that they are explicit and exhibit good stability properties.
Z. Bučková +3 more
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In this work we propose Alternating Direction Explicit (ADE) schemes for the two and three dimensional linear Black-Scholes pricing model. Our implemented methodology can be easily extended to higher dimensions. The main advantage of ADE schemes is that they are explicit and exhibit good stability properties.
Z. Bučková +3 more
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SAE Technical Paper Series, 1978
<div class="htmlview paragraph">A numerical method has been developed to solve the steady three dimensional Reynolds-averaged Navier-Stokes equations by successive approximations. The method is applicable to rotors of axial or radial compressors and turbines.
Leonard Walitt, C.Y. Liu, James L. Harp
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<div class="htmlview paragraph">A numerical method has been developed to solve the steady three dimensional Reynolds-averaged Navier-Stokes equations by successive approximations. The method is applicable to rotors of axial or radial compressors and turbines.
Leonard Walitt, C.Y. Liu, James L. Harp
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Applied Physics A, 2009
Enhancements to our existing finite-differences code for the simulation of laser heating, melting and evaporation of silicon are presented. The Knudsen evaporation model has been added to the previously used enthalpy-based model in order to simulate laser pulses with pulse lengths down to a few nanoseconds.
A. Fell, G. P. Willeke
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Enhancements to our existing finite-differences code for the simulation of laser heating, melting and evaporation of silicon are presented. The Knudsen evaporation model has been added to the previously used enthalpy-based model in order to simulate laser pulses with pulse lengths down to a few nanoseconds.
A. Fell, G. P. Willeke
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2017
In this chapter we discuss Alternating direction explicit (ADE) methods for one-dimensional convection diffusion equations and their numerical analysis including stability, consistency and convergence results. We propose ADE schemes for the two and three dimensional linear Black-Scholes pricing model.
Zuzana Bučková +3 more
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In this chapter we discuss Alternating direction explicit (ADE) methods for one-dimensional convection diffusion equations and their numerical analysis including stability, consistency and convergence results. We propose ADE schemes for the two and three dimensional linear Black-Scholes pricing model.
Zuzana Bučková +3 more
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The Journal of the Acoustical Society of America, 1969
A computer solution of the wave-difference equations is found by using an interlacing implicit-explicit scheme. In the computation, the entire two-dimensional field is found as a function of time. The examples considered involve propagation in a homogeneous shallow-water channel, where the effect of superposition of discrete spectra produces ...
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A computer solution of the wave-difference equations is found by using an interlacing implicit-explicit scheme. In the computation, the entire two-dimensional field is found as a function of time. The examples considered involve propagation in a homogeneous shallow-water channel, where the effect of superposition of discrete spectra produces ...
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2010 15th Asia and South Pacific Design Automation Conference (ASP-DAC), 2010
Shuichi Aono, Masaki Unno, Hideki Asai
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Shuichi Aono, Masaki Unno, Hideki Asai
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Alternating group explicit method for the dispersive equation
International Journal of Computer Mathematics, 2000Guangwei Yuan, Longjun Shen
exaly
On the $O(1/n)$ Convergence Rate of the Douglas–Rachford Alternating Direction Method
SIAM Journal on Numerical Analysis, 2012Xiaoming Yuan
exaly