Dave A. Voss

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We study the applicability of meshfree approximation schemes for the solution of multi-asset American option problems. In particular, we consider a penalty method which allows us to remove the free and moving boundary by adding a small and continuous penalty term to the Black-Scholes equation. A comparison with results obtained recently by two of the(More)
In this paper we consider a meshfree radial basis function approach for the valuation of pricing options with non-smooth payoffs. By taking advantage of parallel architecture, a strongly stable and highly accurate time stepping method is developed with computational complexity comparable to the implicit Euler method implemented concurrently on each(More)
Parallel Rosenbrock methods are developed for systems with stiff chemical reactions. Unlike classical Runge-Kutta methods, these linearly implicit schemes avoid the necessity to iterate at each time step. Parallelism across the method allows for the solution of the linear algebraic systems in essentially Backward Euler-like solves on concurrent processors.(More)
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