We consider the application of finite-difference methods to the numerical solution of boundary-value problems. In particular we are concerned to study the feasibility and convergence of the difference ...
The complex-step method is a clever way of obtaining a numerical approximation to the first derivative of a function, avoiding the round-off error that plagues ...
Copyright AD-TECH; licensee AZoM.com Pty Ltd. This is an AZo Open Access Rewards System (AZo-OARS) article distributed under the terms of the AZo–OARS https://www ...
Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...
We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...
Physics and Python stuff. Most of the videos here are either adapted from class lectures or solving physics problems. I really like to use numerical calculations without all the fancy programming ...
A free-boundary formulation is considered for the price of American options under jump-diffusion models with finite jump activity. On the free boundary a Cauchy boundary condition holds, due to the ...
What Are FEM, FDM and FVM? FEM, FDM and FVM differ from one another in important ways. Understanding these distinctions is key to selecting the method most appropriate for your purposes. The ...
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