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- W346979912 abstract "A new family of numerical schemes for inhomogeneous parabolic partial dieren tial equations is developed. The new family of algorithms utilizes diagonal Pad e schemes combined with positivity{preserving Pad e schemes as damping devices. We also utilize partial fraction decomposition to address problems with accuracy and computational eciency in solving the higher order methods and to implement the algorithms in parallel. Numerical experiments are presented for various examples from nancial mathematics, especially pricing options with nonsmooth payos. 2000 Mathematics Subject Classication: 65M12, 65M15, 65Y05, 65Y20." @default.
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- W346979912 date "2005-01-01" @default.
- W346979912 modified "2023-09-27" @default.
- W346979912 title "Higher Order Smoothing Schemes for Inhomogeneous Parabolic Problems with Applications to Nonsmooth Payo in Option Pricing" @default.
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