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

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 …

Based on the parallel cyclic reduction technique, a promising new parallel algorithm is
designed for pentadiagonal systems. Subject to fulfilling stability conditions, this highly …

In this paper we investigate faster and memory efficient parallel techniques to numerically
solve the Bates model for European options. We have followed method-of-linesapproach …

The time-dependent multidimensional diffusion equations with mixed derivative terms have
been widely used in mathematics. Due to the mixed derivative terms, it is difficult to solve this …

This paper concerns the numerical solution of the two-dimensional time-dependent partial
integro-differential equation (PIDE) that holds for the values of European-style options under …

High-Order Methods for Parabolic Equations in Multiple Space Dimensions for Option
Pricing Problems Page 1 CERFACS, Toulouse High-Order Methods for Parabolic Equations …

Multi-asset options depend on more than one underlying asset. In this chapter we shall
focus on two-asset options. Assuming the Black–Scholes framework, the price evolution of …

Summary Convergence Analysis and Application of ADI Schemes for Partial Differential
Equations from Financial Mathematics In the contemporary international financial markets …