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math.NA2024
Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic P…
math.NA2024
IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing
J. G. López-Salas, M. Suárez-Taboada, M. J. Castro +2
The goal of this paper is to develop 2nd order Implicit-Explicit Runge-Kutta (IMEX-RK) finite volume (FV) schemes for solving 1d parabolic PDEs for option pricing, with possible no…