S. McKee, D. P. Wall, and S. K. Wilson. An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms. J. Comput. Phys., 126(1):64--76, 1996. Home/Search Document Not in Database Summary Related Articles Check |
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Automatic Generation of Software Components for Real.. - Chortaras, Guo, Ghanem (Correct)
....variables and at which time points will the options included in a project be exercised. In our system currently we have implemented the Cranck Nicolson implicit finite di#erences numerical algorithm component for one dimensional problems and an ADI (appropriately extending the schema proposed in [15]) finite differences component for two dimensional problems. For projects with geometric Brownian motion dynamics we have implemented also the lattice method. The components can calculate the value of mutually exclusive and sequences of compound options. Figure 6 summarises the details of the ....
S. McKee, D.P. Wall and S.K. Wilson, An Alternating Direction Implicit Scheme for Parabolic Equations with Mixed Derivative and Convective Terms, Journal of Computational Physics, vol. 126, pp. 64-76, 1996.
Optimal and near-optimal advection-diffusion finite-difference.. - Smith, Tang (Correct)
....of spatiallyan temporally displaced version of the advection4q E0EN equation Yet, a Taylor seriesexpanq of the superposition about acen tral poin t would yield anP9E5Eq trunEq N error. The combinE complication ofan9 N5q P4 di#usion an of two dimenP4RE4 advection were addressed by McKee, Wall Wilson (1996). They give a direct gentqR99R1q P of the Peaceman Rachford (1955) scheme whichretain the ADI computabilityan un0E q P10 stability but alsoretain the modest accuracy. Thepresen t paper adapts the McKee, Wall Wilson (1996) scheme to achieve higher order accuracy, with theminP addition ....
....di#usion an of two dimenP4RE4 advection were addressed by McKee, Wall Wilson (1996) They give a direct gentqR99R1q P of the Peaceman Rachford (1955) scheme whichretain the ADI computabilityan un0E q P10 stability but alsoretain the modest accuracy. Thepresen t paper adapts the McKee, Wall Wilson (1996) scheme to achieve higher order accuracy, with theminP addition features of decayan source terms: # t c #c u 1 # x1 c u 2 # x2 c # 11 # 2 x1 c 2 # 12 # x1 # x2 c # 22 # 2 x2 c = q. 1.2) Themain adaption is thatonqPPR99q E491 sweepin withan advectiveexten0q of the CranRN0q E0R9 ....
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McKee, S., Wall D. P. & Wilson S. K. 1996 An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms. J.Comp5 Phys.126 , 64--76.
Trading Volume in Models of Financial Derivatives - Howison, Lamper (2000) (Correct)
....surface for the case of = 0 is included as Figure 2, obtained from an ADI solution. However, in the most general case a correlation is present and hence the two factor equation must be solved with a mixed derivative term present. This can be accommodated in an explicit scheme or an ADI framework [45]; the e ect of changing the correlation is demonstrated in Figure 3. 4 6 8 10 12 14 0 2 4 6 0.165 0.17 0.175 0.18 0.185 0.19 0.195 0.2 K=10 I S Figure 2: Implied volatility surface: K = 10, T = 0:5, 60, I = I = 0:7 and = 0. 13 4 6 8 10 12 14 0.165 0.17 0.175 ....
S. McKee, D.P. Wall, and S.K. Wilson, An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms, Journal of Computational Physics 126 (1996), 64-76.
Componentwise Splitting Methods for Pricing American Options .. - Ikonen, Toivanen (2005) (Correct)
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S. McKee, D. P. Wall, and S. K. Wilson. An alternating direction implicit scheme for parabolic equations with mixed derivative and convective terms. J. Comput. Phys., 126(1):64--76, 1996.
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