Adaptive Step Selection for a Filtered Implicit Method
Sign Up to like & getrecommendations! Published in 2025 at "Journal of Scientific Computing"
DOI: 10.1007/s10915-025-02861-w
Abstract: Pre-filtering and post-filtering steps can be added to many of the traditional numerical methods to generate new, higher order methods with strong stability properties. Presented in this paper are a variable step pre-filter and post-filter… read more here.
Keywords: implicit method; step selection; adaptive step; step ... See more keywords
A finite volume–alternating direction implicit method for the valuation of American options under the Heston model
Sign Up to like & getrecommendations! Published in 2020 at "International Journal of Computer Mathematics"
DOI: 10.1080/00207160.2019.1585826
Abstract: ABSTRACT A finite volume–alternating direction implicit method is proposed for numerical valuation of the American options under the Heston model. It is based on decoupling correlated stock price process and volatility process so that corresponding… read more here.
Keywords: implicit method; direction implicit; alternating direction; volume alternating ... See more keywords