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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)
Rosenbrock methods are frequently used for the numerical solution of stiff initial value problems. Such linearly implicit methods are characterized by a relatively easy implementation together with excellent linear stability properties. In this paper, we consider modified Rosenbrock methods with s external linearly implicit stages each of which contains p(More)
Split-step Adams–Moulton Milstein methods for systems of stiff stochastic differential equations David A. Voss & Abdul Q. M. Khaliq a Department of Mathematics, Western Illinois University, Macomb, IL 61455, USA; b Department of Mathematical Sciences and Center for Computational Science, Middle Tennessee State University, Murfreesboro, TN 37132, USA(More)
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