75 citations · 453 across the 27 of their papers we have counts for
7 papers · 1 filter
High-order ADI scheme for option pricing in stochastic volatility models
Bertram Düring, James Miles
We propose a new high-order alternating direction implicit (ADI) finite difference scheme for the solution of initial-boundary value problems of convection-diffusion type with mixe…
Asymptotic speed of propagation for a viscous semilinear parabolic equation
A. Cesaroni, N. Dirr, M. Novaga
We characterize the asymptotic speed of propagation of almost planar solutions to a semilinear viscous parabolic equation, with periodic nonlinearity.
A higher-order gradient flow scheme for a singular one-dimensional diffusion equation
Bertram Düring, Philipp Fuchs, Ansgar Jüngel
A nonlinear diffusion equation, interpreted as a Wasserstein gradient flow, is numerically solved in one space dimension using a higher-order minimizing movement scheme based on th…
High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
Bertram Düring, Christof Heuer
We present a high-order compact finite difference approach for a class of parabolic partial differential equations with time and space dependent coefficients as well as with mixed…
High-order ADI schemes for convection-diffusion equations with mixed derivative terms
Bertram Düring, Michel Fournié, Alain Rigal
We present new high-order Alternating Direction Implicit (ADI) schemes for the numerical solution of initial-boundary value problems for convection-diffusion equations with mixed d…
High-order compact schemes for Black-Scholes basket options
Bertram Düring, Christof Heuer
We present a new high-order compact scheme for the multi-dimensional Black-Scholes model with application to European Put options on a basket of two underlying assets. The scheme i…