Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance
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arXiv
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| Hauptverfasser: | , , , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| author | López-Salas, J. G. Suárez-Taboada, M. Castro, M. J. Ferreiro-Ferreiro, A. M. García-Rodríguez, J. A. |
| author_facet | López-Salas, J. G. Suárez-Taboada, M. Castro, M. J. Ferreiro-Ferreiro, A. M. García-Rodríguez, J. A. |
| contents | We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic PDEs with mixed derivatives. The methods achieve second-order convergence even in the presence of non-regular initial conditions. The IMEX time integrator allows to overcome the tiny time-step induced by the diffusive term in the explicit schemes, also providing accurate and non-oscillatory approximations of the Greeks. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_01131 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance López-Salas, J. G. Suárez-Taboada, M. Castro, M. J. Ferreiro-Ferreiro, A. M. García-Rodríguez, J. A. Numerical Analysis We present a novel and general methodology for building second-order finite volume implicit-explicit Runge-Kutta numerical schemes for solving two-dimensional financial parabolic PDEs with mixed derivatives. The methods achieve second-order convergence even in the presence of non-regular initial conditions. The IMEX time integrator allows to overcome the tiny time-step induced by the diffusive term in the explicit schemes, also providing accurate and non-oscillatory approximations of the Greeks. |
| title | Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance |
| topic | Numerical Analysis |
| url | https://arxiv.org/abs/2409.01131 |