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Meshfree Exponential Integrators

โœ Scribed by Caliari, Marco; Ostermann, Alexander; Rainer, Stefan


Book ID
120229974
Publisher
Society for Industrial and Applied Mathematics
Year
2013
Tongue
English
Weight
349 KB
Volume
35
Category
Article
ISSN
1064-8275

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In this paper, we are concerned with the time integration of differential equations modeling option pricing. In particular, we consider the Black-Scholes equation for American options. As an alternative to existing methods, we present exponential Rosenbrock integrators. These integrators require the