In this article, a simple, effective adaptation of Alternating Direction Implicit time
discretization schemes is proposed for the numerical pricing of American-style options under …

This paper deals with the efficient numerical solution of the two-dimensional partial integro-
differential complementarity problem (PIDCP) that holds for the value of American-style …

In this article we combine high-order (HO) finite difference discretisations with alternating
direction implicit (ADI) schemes for parabolic partial differential equations with mixed …

This paper deals with the numerical solution of the two-dimensional time-dependent Merton
partial integro-differential equation (PIDE) for the values of rainbow options under the two …

This paper concerns the numerical solution of the three-dimensional Heston–Cox–Ingersoll–
Ross partial differential equation for the fair values of European-style financial options. We …

This paper is concerned with the adaptation of alternating direction implicit (ADI) time
discretization schemes for the numerical solution of partial integro-differential equations …

In this paper the unconditional stability of four well-known ADI schemes is analyzed in the
application to time-dependent multidimensional diffusion equations with mixed derivative …

Abstract We consider the Modified Craig–Sneyd (MCS) scheme which forms a prominent
time stepping method of the Alternating Direction Implicit type for multidimensional time …

One of the prominent alternating direction implicit (ADI) schemes for numerically pricing
financial options, the modified Craig–Sneyd scheme, is put to test for its reliability and …

In this article we consider the Modified Craig–Sneyd (MCS) scheme which forms a
prominent time-stepping method of the Alternating Direction Implicit type for …