Search Results - subject:"implicit methods"

On the Numerical Stability of Simulation Methods for SDES

Platen, Eckhard; Shi, Lei - Finance Discipline Group, Business School - 2008

, scenario simulation, Monte Carlo simulation, numerical stability, predictor-corrector methods, implicit methods. 1University of … schemes. Implicit methods can successfully be used to control the propagation of errors. For this type of methods we refer to … in a scheme implicit. Balanced implicit methods may help to stabilize the numerical approximation in such a situation …

Persistent link: https://www.econbiz.de/10004984500

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

Convergence analysis of a modified inexact implicit method for general mixed monotone variational inequalities

Zeng, Lu-Chuan; Yao, Jen-Chih - In: Mathematical Methods of Operations Research 62 (2005) 2, pp. 211-224

We consider a useful modification of the inexact implicit method with a variable parameter in Wang et al. J Optim Theory 111: 431–443 (2001) for generalized mixed monotone variational inequalities. One of the contributions of the proposed method in this paper is that the restrictions imposed...

Persistent link: https://www.econbiz.de/10010950003

Convergence analysis of a modified inexact implicit method for general mixed monotone variational inequalities

Zeng, Lu-Chuan; Yao, Jen-Chih - In: Computational Statistics 62 (2005) 2, pp. 211-224

Persistent link: https://www.econbiz.de/10010759216

Implicit locally one-dimensional methods for two-dimensional diffusion with a non-local boundary condition

Dehghan, Mehdi - In: Mathematics and Computers in Simulation (MATCOM) 49 (1999) 4, pp. 331-349

Two new second-order finite difference techniques based upon the classical 3-point backward time centered space (BTCS) method and the Crank–Nicolson scheme, and also a fourth-order finite difference scheme based on Crandall's method for one-dimensional diffusion, are used to solve the...

Persistent link: https://www.econbiz.de/10010748740