High|order accurate variable time step compact schemes for pricing ...

High-order accurate variable time step compact schemes for pricing ...

Abstract. In this paper, a fourth order accurate variable time step compact scheme is developed for pricing vanilla and exotic options. Variable ...

High-order accurate variable time step compact schemes for pricing ...

Abstract. In this paper, a fourth order accurate variable time step compact scheme is developed for pricing vanilla and exotic options.

High-order Accurate Implicit-Explicit Time-Stepping Schemes for ...

The implicit schemes are single step, three levels in time, and based on the modified equation approach. Second and fourth-order accurate ...

Very high-order compact finite difference schemes on non-uniform ...

, with n > 1 involves terms already calculated at previous time steps n and n 1. In order to keep the overall time stepping scheme second-order accurate, ...

High-order accurate variable time step compact schemes for pricing ...

High-order accurate variable time step compact schemes for pricing vanilla and exotic options ... High order compact finite difference schemes for a ...

A high-order and fast scheme with variable time steps for the ... - arXiv

The Black-Scholes model, a second-order parabolic partial differential equation related to stock price and time, is used for pricing European or ...

High-Order Compact-Difference Schemes for Time-Dependent ...

Two high-order compact-difference schemes have been developed for solving three-dimensional, time-dependent Maxwell equations.

On high-order compact schemes for the multidimensional time ...

In this article, some high-order compact finite difference schemes are presented and analyzed to numerically solve one- and two-dimensional ...

High-order accurate variable time step compact schemes for pricing ...

In this paper, a fourth order accurate variable time step compact scheme is developed for pricing vanilla and exotic options. Variable time step midpoint ...

high order method for variable coefficient integro-differential ...

(5) Comparison of CPU time taken using IMEX compact scheme and FDM in price computation. Moreover, following are some new contributions to the literature ...

Higher-Order Compact Schemes for Numerical Simulation of ...

Further, high resolution properties couht t)e improved by optimization of coefficients, but at the expense of the formal order of accuracy. A fourth-order. (' ...

High-Order Compact Finite Difference Scheme for Option Pricing in ...

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space ...

A variable‐step high‐order scheme for time‐fractional advection ...

We consider a high accuracy numerical scheme for solving the two-dimensional time-fractional advection-diffusion equation including mixed derivatives.

A High Order Compact Time/Space Finite Difference Scheme for the ...

Abstract We consider fourth order accurate compact schemes, in both space and time, for the second order wave equation with a variable speed of sound.

A Highly Efficient and Accurate New Scalar Auxiliary Variable ...

high-order unconditionally stable adaptive time-stepping backward differentiation formula schemes. Representative numerical examples are provided to ...

High-Order Time-Integration Schemes with Explicit Time-Splitting ...

Thus, they can be useful for investigating the impacts of time-integration scheme accuracy on the performance of numerical models. The high- ...

An efficient two-grid high-order compact difference scheme with ...

High-order two-grid difference algorithm, variable-step BDF2 method, piecewise bi-cubic Lagrange interpolation, DOC kernels, unique solvability, maximum-norm ...

A new high-order compact finite difference scheme based on ...

This is a scheme of operator splitting method. If the differential operators of the SSM commute, then it will lead to no loss of accuracy. To ...

Compact High Order Accurate Schemes for the Three Dimensional ...

Compact finite difference schemes for the wave equation (1a) have to be implicit in time. Otherwise, the discretization will require more than ...

Explicit RKF-Compact Scheme for Pricing Regime ... - NASA ADS

In this research work, an explicit Runge-Kutta-Fehlberg (RKF) time integration with a fourth-order compact finite difference scheme in space and a high ...