Search Results - subject:"alternating direction implicit"

Calibration of local volatility model with stochastic interestrates by efficient numerical PDE methods

Hok, Julien; Tan, Shih-Hau - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 609-637

Persistent link: https://www.econbiz.de/10012127281

Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations

Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 21 (2017/2018) 5, pp. 1-33

Persistent link: https://www.econbiz.de/10011860891

ADI schemes for pricing American options under the Heston model

Haentjens, Tinne; Hout, Karel J. in 't - In: Applied mathematical finance 22 (2015) 3/4, pp. 207-237

Persistent link: https://www.econbiz.de/10011436200

An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives

Dang, Duy Minh; Christara, Christina C.; Jackson, Kenneth R. - In: The journal of computational finance 18 (2014/2015) 4, pp. 39-93

Persistent link: https://www.econbiz.de/10011441260

SLADI : a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage valuations

Ávalos, Javier Hernández; Johnson, Paul V.; Duck, Peter W. - In: The journal of computational finance 19 (2015/2016) 2, pp. 69-108

Persistent link: https://www.econbiz.de/10011442669

Effect of thermo-geometric parameters on entropy generation in absorber plate fin of a solar flat plate collector

Jilani, G.; Thomas, Ciby - In: Energy 70 (2014) C, pp. 35-42

distribution in the absorber plate fin is solved using Alternating Direction Implicit finite difference scheme. Numerical results …

Persistent link: https://www.econbiz.de/10010807944

Lapse Rate Modeling: A Rational Expectation Approach

De Giovanni, Domenico - Ehrvervøkonomisk Institut, Institut for Økonomi - 2007

Lapse Rate Modeling: A Rational Expectation Approach Abstract The surrender option embedded in many life insurance products is a clause that allows policyholders to terminate the contract early. Pricing techniques based on the American Contingent Claim (ACC) theory are often used, though the...

Persistent link: https://www.econbiz.de/10005802551