# The Alternating Direction Explicit (ADE) Method for One‐Factor Problems

@inproceedings{Pealat2011TheAD, title={The Alternating Direction Explicit (ADE) Method for One‐Factor Problems}, author={Guillaume Pealat and Daniel John Duffy}, year={2011} }

- Published 2011
DOI:10.1002/wilm.10014

In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black–Scholes, local volatility, uncertain volatility). We first give an introduction to ADE. We discuss the stability, accuracy, and performance of ADE for a generic one-factor partial differential equation. Of particular importance is how we transform a problem on an unbounded domain to one on a bounded domain, thus avoiding complex mathematical techniques to find… CONTINUE READING