We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential
equations to discretise the Black–Scholes PDE for the numerical pricing of European and …

We describe an improvement of Han and Wu’s algorithm [H. Han, X.Wu, A fast numerical
method for the Black–Scholes equation of American options, SIAM J. Numer. Anal. 41 (6) (2003…

We consider exponential time differencing (ETD) schemes for the numerical pricing of options.
Special treatments for the implementation of the boundary conditions that arise in finance …

… v , 1 ⊗ A x , 1 + 1 2 γ 2 D v - α β - 1 2 γ 2 A v + α A v , 1 + ( r + λ ) M v ⊗ M x , where the (i, k)th
entry in the (M x − 1)-dimensional matrix M x is defined by M ik x = ( φ i , φ k ) L 2 ( Ω x ) , for 1 …

We consider exponential time integration schemes for fast numerical pricing of European,
American, barrier and butterfly options when the stock price follows a dynamics described by a …

… The temporal domain is divided into m equispaced intervals for k=1, 2, …, m with . We shall
consider equispaced nodes for the numerical implementation, although there is no restriction …

In this paper, we develop a high-order radial basis function finite difference (RBF-FD)
approximation on a five-point stencil for pricing options under the regime-switching stochastic …

… D S V m denote the approximation to V S (S m , τ), … ) m = a m D S S V m + b m D S V m − r
V m − ϵ m , 1 ≤ m ≤ M − 1 , where ϵ m = ( b m 6 ( V S S S ) m + a m 12 ( V S S S S ) m − 3 a m …

We propose a new fourth-order non-oscillatory central scheme for computing approximate
solutions of hyperbolic conservation laws. A piecewise cubic polynomial is used for the spatial …

In this paper, the exchange rate forecasting performance of neural network models are
evaluated against the random walk, autoregressive moving average and generalised …