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Subject
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Option pricing theory 2 Optionspreistheorie 2 Stochastic process 2 Stochastischer Prozess 2 Absorber plate fin 1 Alternating direction implicit scheme 1 American option 1 Analysis 1 Barrier options 1 Coupled nonlinear Shrödinger equation 1 Diffusions with killing 1 Drift-implicit scheme 1 Entropy generation rate 1 Euler-Maruyama scheme 1 Finite difference method 1 Heston 1 Heston-Hull-White 1 Innovation diffusion 1 Innovationsdiffusion 1 Kato classes 1 Linearly implicit scheme 1 Locally one-dimensional methods 1 Martingal 1 Martingale 1 Mathematical analysis 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Numerical weather prediction 1 Option trading 1 Optionsgeschäft 1 Recurrent transformations 1 Semi-Lagrangian semi-implicit scheme 1 Solar flat plate collector 1 Solitons 1 Strict local martingales 1 Temperature dependent thermal conductivity 1 Volatility 1 Volatilität 1 Weak convergence 1 alternating direction implicit scheme 1
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Undetermined 5 Free 1
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Article 6
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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Undetermined 4 English 2
Author
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Bourchtein, Andrei 1 Ehrhardt, Matthias 1 Günther, Michael 1 Hendricks, Christian 1 Hok, Julien 1 Ismail, M.S. 1 Jilani, G. 1 KHALIQ, A. Q. M. 1 LIU, R. H. 1 Taha, Thiab R. 1 Thomas, Ciby 1 Çetin, Umut 1
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Published in...
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Mathematics and Computers in Simulation (MATCOM) 2 Energy 1 Finance and stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 The journal of computational finance 1
Source
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RePEc 4 ECONIS (ZBW) 2
Showing 1 - 6 of 6
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Speeding up the Euler scheme for killed diffusions
Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707
Persistent link: https://www.econbiz.de/10015130359
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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
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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
The prime objective of the present numerical study is to obtain relatively more realistic values of performance parameters of a sheet and tube type solar flat plate collector of fixed collector area and number of tubes. Considering temperature dependent thermal conductivity and overall loss...
Persistent link: https://www.econbiz.de/10010807944
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NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
KHALIQ, A. Q. M.; LIU, R. H. - In: International Journal of Theoretical and Applied … 12 (2009) 03, pp. 319-340
This paper is concerned with regime-switching American option pricing. We develop new numerical schemes by extending the penalty method approach and by employing the θ-method. With regime-switching, American option prices satisfy a system of m free boundary value problems, where m is the number...
Persistent link: https://www.econbiz.de/10005006748
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A linearly implicit conservative scheme for the coupled nonlinear Schrödinger equation
Ismail, M.S.; Taha, Thiab R. - In: Mathematics and Computers in Simulation (MATCOM) 74 (2007) 4, pp. 302-311
The coupled nonlinear Schrödinger equation models several intersting physical phenomena. It presents a model equation for optical fiber with linear birefringence. In this paper, we present a linearly implicit conservative method to solve this equation. This method is second order accurate in...
Persistent link: https://www.econbiz.de/10011051245
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Semi-Lagrangian semi-implicit locally one-dimensional scheme for hydrostatic atmospheric model
Bourchtein, Andrei - In: Mathematics and Computers in Simulation (MATCOM) 73 (2006) 1, pp. 38-51
A semi-Lagrangian semi-implicit locally one-dimensional scheme is considered for a regional atmospheric model. Vertical decoupling allows to separate the principal fastest physical components approximated by the semi-implicit method of the second order accuracy from the secondary slowest modes...
Persistent link: https://www.econbiz.de/10011050727
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