Compact finite difference method for American option pricing

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2006.07.006 ◽

2007 ◽

Vol 206 (1) ◽

pp. 306-321 ◽

Author(s):

Jichao Zhao ◽

Matt Davison ◽

Robert M. Corless

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Option Pricing ◽

Difference Method ◽

American Option ◽

American Option Pricing ◽

Compact Finite Difference ◽

Compact Finite Difference Method

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Two different temporal domain integration schemes combined with compact finite difference method to solve modified Burgers’ equation

Ain Shams Engineering Journal ◽

10.1016/j.asej.2021.05.021 ◽

2021 ◽

Author(s):

Ravneet Kaur ◽

Shallu ◽

V.K. Kukreja ◽

Nabendra Parumasur ◽

Pravin Singh

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Burgers Equation ◽

Compact Finite Difference ◽

Compact Finite Difference Method ◽

Integration Schemes ◽

Temporal Domain ◽

Modified Burgers Equation ◽

Domain Integration

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Fourth Order Compact Finite Difference Method for Solving One Dimensional Wave Equation

International Journal Of Engineering & Applied Sciences ◽

10.24107/ijeas.281431 ◽

2016 ◽

Vol 8 (4) ◽

pp. 30-30

Author(s):

Gemechis File Duressa ◽

Tesfaye Aga Bullo ◽

Gashu Gadisa Kiltu

Keyword(s):

Wave Equation ◽

Finite Difference ◽

Finite Difference Method ◽

Fourth Order ◽

Difference Method ◽

Compact Finite Difference ◽

One Dimensional ◽

Compact Finite Difference Method ◽

Dimensional Wave

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The symmetric compact finite difference method for nonlinear two-order boundary value problems

The 2nd International Conference on Information Science and Engineering ◽

10.1109/icise.2010.5689512 ◽

2010 ◽

Author(s):

Xiaopeng Lian ◽

Danfu Han

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Boundary Value Problems ◽

Difference Method ◽

Boundary Value ◽

Compact Finite Difference ◽

Compact Finite Difference Method

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Compact finite difference method for integro-differential equations

Applied Mathematics and Computation ◽

10.1016/j.amc.2005.11.007 ◽

2006 ◽

Vol 177 (1) ◽

pp. 271-288 ◽

Author(s):

Jichao Zhao ◽

Robert M. Corless

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Differential Equations ◽

Difference Method ◽

Compact Finite Difference ◽

Compact Finite Difference Method

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A compact finite difference method for reaction–diffusion problems using compact integration factor methods in high spatial dimensions

Advances in Difference Equations ◽

10.1186/s13662-018-1731-7 ◽

2018 ◽

Vol 2018 (1) ◽

Author(s):

Rongpei Zhang ◽

Zheng Wang ◽

Jia Liu ◽

Luoman Liu

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Reaction Diffusion ◽

Compact Finite Difference ◽

Compact Finite Difference Method ◽

Spatial Dimensions ◽

High Spatial Dimensions ◽

Diffusion Problems

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An implicit compact finite difference method for the fractional reaction-subdiffusion equation

International Journal of Applied Mathematical Research ◽

10.14419/ijamr.v3i4.3678 ◽

2014 ◽

Vol 3 (4) ◽

pp. 579 ◽

Author(s):

Behnam Sepehrian ◽

Mahboobeh Jabbari

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Compact Finite Difference ◽

Compact Finite Difference Method ◽

Subdiffusion Equation ◽

Fractional Reaction

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A New Compact Finite Difference Method for Solving the Generalized Long Wave Equation

Numerical Functional Analysis and Optimization ◽

10.1080/01630563.2013.830128 ◽

2013 ◽

Vol 35 (2) ◽

pp. 133-152 ◽

Author(s):

Rahman Akbari ◽

Reza Mokhtari

Keyword(s):

Wave Equation ◽

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Compact Finite Difference ◽

Compact Finite Difference Method ◽

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Compact Finite Difference Method for Calculating Magnetic Field Components of Cyclotrons

Journal of Computational Physics ◽

10.1006/jcph.1996.5635 ◽

1997 ◽

Vol 132 (2) ◽

pp. 167-174 ◽

Author(s):

Dong-o Jeon

Keyword(s):

Magnetic Field ◽

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Compact Finite Difference ◽

Compact Finite Difference Method

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A compact finite difference method for solving Burgers' equation

International Journal for Numerical Methods in Fluids ◽

10.1002/fld.2041 ◽

2009 ◽

pp. n/a-n/a ◽

Author(s):

Shusen Xie ◽

Guangxing Li ◽

Sucheol Yi ◽

Sunyeong Heo

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Difference Method ◽

Burgers Equation ◽

Compact Finite Difference ◽

Compact Finite Difference Method

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A new 9-point sixth-order accurate compact finite-difference method for the Helmholtz equation

Journal of Sound and Vibration ◽

10.1016/j.jsv.2007.06.070 ◽

2007 ◽

Vol 307 (3-5) ◽

pp. 972-982 ◽

Author(s):

Majid Nabavi ◽

M.H. Kamran Siddiqui ◽

Javad Dargahi

Keyword(s):

Finite Difference ◽

Finite Difference Method ◽

Helmholtz Equation ◽

Difference Method ◽

Sixth Order ◽

Compact Finite Difference ◽

Compact Finite Difference Method

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