1 citations · 1 across the 5 of their papers we have counts for
5 papers
Estimation of domain truncation error for a system of PDEs arising in option pricing
Anindya Goswami, Kuldip Singh Patel
In this paper, a multidimensional system of parabolic partial differential equations arising in European option pricing under a regime-switching market model is studied in details.…
A novel difference equation approach for the stability and robustness of compact schemes for variable coefficient PDEs
Anindya Goswami, Kuldip Singh Patel, Pradeep Kumar Sahu
Fourth-order accurate compact schemes for variable coefficient convection diffusion equations are considered. A sufficient condition for the stability of the fully discrete problem…
Matrix method stability and robustness of compact schemes for parabolic PDEs
Anindya Goswami, Kuldip Singh Patel
The fully discrete problem for convection-diffusion equation is considered. It comprises compact approximations for spatial discretization, and Crank-Nicolson scheme for temporal d…
Compact finite difference method for pricing European and American options under jump-diffusion models
Kuldip Singh Patel, Mani Mehra
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and lin…
Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models
Kuldip Singh Patel, Mani Mehra
In this article, a three-time levels compact scheme is proposed to solve the partial integro-differential equation governing the option prices under jump-diffusion models. In the p…