ADI schemes for valuing European options under the Bates model

KJ in't Hout, J Toivanen - Applied Numerical Mathematics, 2018 - Elsevier
This paper is concerned with the adaptation of alternating direction implicit (ADI) time
discretization schemes for the numerical solution of partial integro-differential equations …

Convergence in and Norm of One-Stage AMF-W-Methods for Parabolic Problems

S González-Pinto, E Hairer, D Hernandez-Abreu - SIAM Journal on Numerical …, 2020 - SIAM
For the numerical solution of parabolic problems with a linear diffusion term, linearly implicit
time integrators are considered. To reduce the cost on the linear algebra level, an …

[HTML][HTML] Convergence in the maximum norm of ADI-type methods for parabolic problems

S González-Pinto, D Hernández-Abreu - Applied Numerical Mathematics, 2022 - Elsevier
Results on unconditional convergence in the maximum norm for ADI-type methods, such as
the Douglas method, applied to the time integration of parabolic problems are quite difficult …

On multistep stabilizing correction splitting methods with applications to the Heston model

W Hundsdorfer, KJ in't Hout - SIAM Journal on Scientific Computing, 2018 - SIAM
In this note we consider splitting methods based on linear multistep methods and stabilizing
corrections. To enhance the stability of the methods, we employ an idea of Bruno and …

Power boundedness in the maximum norm of stability matrices for ADI methods

S González-Pinto, E Hairer… - BIT Numerical …, 2021 - Springer
The study of convergence of time integrators, applied to linear discretized PDEs, relies on
the power boundedness of the stability matrix R. The present work investigates power …

Convergence in the maximum norm of ADI-type methods for parabolic problems

SG Pinto, DH Abreu - arXiv preprint arXiv:2102.12229, 2021 - arxiv.org
Results on unconditional convergence in the Maximum norm for ADI-type methods, such as
the Douglas method, applied to the time integration of semilinear parabolic problems are …