Li, Haoya; Fan, Yuwei; Ying, Lexing A simple multiscale method for mean field games. (English) Zbl 07512327 J. Comput. Phys. 439, Article ID 110385, 18 p. (2021). MSC: 91Axx 65Mxx 35Qxx PDFBibTeX XMLCite \textit{H. Li} et al., J. Comput. Phys. 439, Article ID 110385, 18 p. (2021; Zbl 07512327) Full Text: DOI arXiv
Attipoe, David Sena; Tambue, Antoine Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing. (English) Zbl 1508.91612 Appl. Math. Comput. 401, Article ID 126060, 22 p. (2021). MSC: 91G60 65M06 35K10 91G20 PDFBibTeX XMLCite \textit{D. S. Attipoe} and \textit{A. Tambue}, Appl. Math. Comput. 401, Article ID 126060, 22 p. (2021; Zbl 1508.91612) Full Text: DOI
Chandra Sekhara Rao, S.; Manisha Numerical solution of generalized Black-Scholes model. (English) Zbl 1427.91294 Appl. Math. Comput. 321, 401-421 (2018). MSC: 91G60 65M06 35K10 35Q91 65M12 91G20 PDFBibTeX XMLCite \textit{S. Chandra Sekhara Rao} and \textit{Manisha}, Appl. Math. Comput. 321, 401--421 (2018; Zbl 1427.91294) Full Text: DOI
Li, Yan; Zhang, Zhengce; Hu, Bei Convergence rate of an explicit finite difference scheme for a credit rating migration problem. (English) Zbl 1395.65049 SIAM J. Numer. Anal. 56, No. 4, 2430-2460 (2018). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 65M12 65M06 35K40 35R35 91G60 PDFBibTeX XMLCite \textit{Y. Li} et al., SIAM J. Numer. Anal. 56, No. 4, 2430--2460 (2018; Zbl 1395.65049) Full Text: DOI
Hendricks, Christian; Heuer, Christof; Ehrhardt, Matthias; Günther, Michael High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance. (English) Zbl 1375.65113 J. Comput. Appl. Math. 316, 175-194 (2017). MSC: 65M06 35K20 65M50 91G60 PDFBibTeX XMLCite \textit{C. Hendricks} et al., J. Comput. Appl. Math. 316, 175--194 (2017; Zbl 1375.65113) Full Text: DOI
Shidfar, A.; Paryab, Kh.; Yazdanian, A. R.; Pirvu, Traian A. Numerical analysis for spread option pricing model of markets with finite liquidity: first-order feedback model. (English) Zbl 1311.91195 Int. J. Comput. Math. 91, No. 12, 2603-2620 (2014). MSC: 91G60 91G20 65M06 35K15 PDFBibTeX XMLCite \textit{A. Shidfar} et al., Int. J. Comput. Math. 91, No. 12, 2603--2620 (2014; Zbl 1311.91195) Full Text: DOI
Zheng, Ning; Yin, Junfeng High order compact schemes for variable coefficient parabolic partial differential equations with non-smooth boundary conditions. (Chinese. English summary) Zbl 1299.65203 Math. Numer. Sin. 35, No. 3, 275-285 (2013). MSC: 65M06 65M50 35K20 91G60 PDFBibTeX XMLCite \textit{N. Zheng} and \textit{J. Yin}, Math. Numer. Sin. 35, No. 3, 275--285 (2013; Zbl 1299.65203)
van der Pijl, S. P.; Oosterlee, C. W. An ENO-based method for second-order equations and application to the control of dike levels. (English) Zbl 1245.65077 J. Sci. Comput. 50, No. 2, 462-492 (2012). Reviewer: Jan Lovíšek (Bratislava) MSC: 65K10 35K20 49L25 35F21 91B62 49J20 49M25 35L65 65M06 PDFBibTeX XMLCite \textit{S. P. van der Pijl} and \textit{C. W. Oosterlee}, J. Sci. Comput. 50, No. 2, 462--492 (2012; Zbl 1245.65077) Full Text: DOI
in ’t Hout, Karel J.; Volders, Kim Stability of central finite difference schemes for the Heston PDE. (English) Zbl 1245.65118 Numer. Algorithms 60, No. 1, 115-133 (2012). Reviewer: Marius Ghergu (Dublin) MSC: 65M12 65M06 35K20 91G60 PDFBibTeX XMLCite \textit{K. J. in 't Hout} and \textit{K. Volders}, Numer. Algorithms 60, No. 1, 115--133 (2012; Zbl 1245.65118) Full Text: DOI arXiv
Yang, Xiaozhong.; Zhou, Gaoxin A kind of accelerated AOS difference schemes for dual currency option pricing model. (English) Zbl 1302.91196 Int. J. Inf. Syst. Sci. 7, No. 2-3, 269-278 (2011). MSC: 91G60 91G20 65M06 PDFBibTeX XMLCite \textit{Xiaozhong. Yang} and \textit{G. Zhou}, Int. J. Inf. Syst. Sci. 7, No. 2--3, 269--278 (2011; Zbl 1302.91196)
Kútik, Pavol; Mikula, Karol Finite volume schemes for solving nonlinear partial differential equations in financial mathematics. (English) Zbl 1246.91150 Fořt, Jaroslav (ed.) et al., Finite volumes for complex applications VI: Problems and perspectives. FVCA 6, international symposium, Prague, Czech Republich, June 6–10, 2011. Vol. 1 and 2. Berlin: Springer (ISBN 978-3-642-20670-2/hbk; 978-3-642-20671-9/ebook). Springer Proceedings in Mathematics 4, 643-651 (2011). MSC: 91G60 65M08 35Q91 35K20 35K55 PDFBibTeX XMLCite \textit{P. Kútik} and \textit{K. Mikula}, Springer Proc. Math. 4, 643--651 (2011; Zbl 1246.91150) Full Text: DOI
Hu, Bei; Liang, Jin; Jiang, Lishang Optimal convergence rate of the explicit finite difference scheme for American option valuation. (English) Zbl 1175.91180 J. Comput. Appl. Math. 230, No. 2, 583-599 (2009). Reviewer: Rózsa Horvàth-Bokor (Budapest) MSC: 91G20 60H10 91B24 35K15 PDFBibTeX XMLCite \textit{B. Hu} et al., J. Comput. Appl. Math. 230, No. 2, 583--599 (2009; Zbl 1175.91180) Full Text: DOI
Wong, Hoi Ying; Zhao, Jing An artificial boundary method for american option pricing under the CEV model. (English) Zbl 1178.35363 SIAM J. Numer. Anal. 46, No. 4, 2183-2209 (2008). Reviewer: Qin Mengzhao (Beijing) MSC: 35Q91 35K20 91G10 35A35 65N06 PDFBibTeX XMLCite \textit{H. Y. Wong} and \textit{J. Zhao}, SIAM J. Numer. Anal. 46, No. 4, 2183--2209 (2008; Zbl 1178.35363) Full Text: DOI
Tangman, D. Y.; Gopaul, A.; Bhuruth, M. A fast high-order finite difference algorithm for pricing American options. (English) Zbl 1147.91032 J. Comput. Appl. Math. 222, No. 1, 17-29 (2008). MSC: 91B28 35K20 35R35 65N06 PDFBibTeX XMLCite \textit{D. Y. Tangman} et al., J. Comput. Appl. Math. 222, No. 1, 17--29 (2008; Zbl 1147.91032) Full Text: DOI
Wade, B. A.; Khaliq, A. Q. M.; Yousuf, M.; Vigo-Aguiar, J.; Deininger, R. On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options. (English) Zbl 1137.91477 J. Comput. Appl. Math. 204, No. 1, 144-158 (2007). MSC: 91G60 65M12 65M15 65Y05 65Y20 65M06 35K20 91G20 PDFBibTeX XMLCite \textit{B. A. Wade} et al., J. Comput. Appl. Math. 204, No. 1, 144--158 (2007; Zbl 1137.91477) Full Text: DOI
Ikonen, S.; Toivanen, J. Operator splitting methods for American option pricing. (English) Zbl 1063.65081 Appl. Math. Lett. 17, No. 7, 809-814 (2004). MSC: 65M06 90C33 91G60 35K15 91G20 60G40 PDFBibTeX XMLCite \textit{S. Ikonen} and \textit{J. Toivanen}, Appl. Math. Lett. 17, No. 7, 809--814 (2004; Zbl 1063.65081) Full Text: DOI
Barles, G.; Souganidis, P. E. Convergence of approximation schemes for fully nonlinear second order equations. (English) Zbl 0729.65077 Asymptotic Anal. 4, No. 3, 271-283 (1991). Reviewer: Michael Sever (Jerusalem) MSC: 65N12 35J65 35K60 91A15 91A23 PDFBibTeX XMLCite \textit{G. Barles} and \textit{P. E. Souganidis}, Asymptotic Anal. 4, No. 3, 271--283 (1991; Zbl 0729.65077)