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COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION
DARAE JEONG
( Sungki Kim )
YONGHO CHOI
( Hyeongseok Hwang )
JUNSEOK KIM
2014년
활용도 Analysis
논문 Analysis
연구자 Analysis
활용도 Analysis
논문 Analysis
연구자 Analysis
활용도
공유도
영향력
논문상세정보
저자
DARAE JEONG
( Sungki Kim )
YONGHO CHOI
( Hyeongseok Hwang )
JUNSEOK KIM
주제어
bi-CGSTAB
Black-Scholesequation
Finite difference method
Multigrid
operator splitting method
참고문헌( 21)
유사주제 논문( 60)
finite difference method 48건
black-scholesequation 5건
operator splitting method 5건
multigrid 2건
인용/피인용
COMPARISON OF NUMERICAL METHOD ...
' COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION' 의 주제별 논문영향력
논문영향력 요약
주제
bi-cgstab
black-scholesequation
finite difference method
multigrid
operator splitting method
동일주제 총논문수
논문피인용 총횟수
주제별 논문영향력의 평균
65
0
0.0%
자세히
주제별 논문영향력
논문영향력
주제
주제별 논문수
주제별 피인용횟수
주제별 논문영향력
주제어
bi-cgstab
1
0
0.0%
black-scholesequation
6
0
0.0%
finite difference method
49
0
0.0%
multigrid
3
0
0.0%
operator splitting method
6
0
0.0%
계
65
0
0.0%
* 다른 주제어 보유 논문에서 피인용된 횟수
0
닫기
' COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION'
의 참고문헌
Users Guide: Natick
MATLAB
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The speed of convergence of one iterative process
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USSR Computational Math. and Math. Phys 4 (3) : 227 ~ 235
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The operator splitting method for Black Scholes equation
Y. Daoud
Appl. Math 2 (6) : 771 ~ 778
[2011]
The Pricing of Options and Corporate Liabilities
F. Black
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E. Haug
McGraw-Hill
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P. Lotstedt
Comput. Math. Appl 53 (8) : 1159 ~ 1180
[2007]
Operator splitting methods for American option pricing
S. Ikonen
Appl. Math. Lett 17 (7) : 809 ~ 814
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On multigrid for linear complementarity problems with application to American-style options
C.W. Oosterlee
Electron. Trans. Numer. Anal 15 (2-7) : 165 ~ 185
[2003]
On multigrid for anisotropic equations and variational inequalities "pricing multi-dimensional european and american options"
C. Reisinger
Comput. Vis. Sci 7 (3-4) : 189 ~ 197
[2004]
Multigrid
U. Trottenberg
Academic press
[2001]
박사
Mathematical model and numerical simulation in computational finance
정다래
고려대학교 대학원
[2013]
Iterative solution of linear systems in the 20th century
Y. Saad
J. Comput. Appl. Math 123 (1) : 1 ~ 33
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Iterative Solution of Large Linear Systems of Equations
W. Hackbusch
Springer
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GMRES, a generalized minimal residual algorithm for solving nonsymmetric linear systems
Y. Saad
SIAM J. Sci. & Stat. Comput 7 (3) : 856 ~ 869
[1986]
Finite Difference Methods in Financial Engineering, A Partial Differential Equation Approach
D. Duffy
John Wiley and Sons
[2006]
Brick by Brick
R. Heynen
Risk Magazine 9 : 28 ~ 31
[1996]
Bi-CGSTAB, A fast and smoothly converging variant of Bi-CG for the solution of nonsymmetric linear systems
H. van der Vorst
SIAM J. Sci. & Stat. Comput 13 (2) : 631 ~ 644
[1992]
ADI as a preconditioning for solving the convection-diffusion equation
R. Chin
SIAM J. Sci. Comput 5 (2) : 281 ~ 299
[1984]
A relaxation method for solving elliptic difference equations
R.P. Fedorenko
USSR Computational Math. and Math. Phys 1 (4) : 1092 ~ 1096
[1962]
A parabolic problem arising in financial mathematics
P. Amstera
Nonlinear Anal. Real World Appl 11 : 759 ~ 763
[2010]
A multigrid preconditioner for an adaptive Black Scholes solver
A. Ramage
BIT Numer. Math 51 (1) : 217 ~ 233
[2011]
' COMPARISON OF NUMERICAL METHODS (BI-CGSTAB, OS, MG) FOR THE 2D BLACK-SCHOLES EQUATION'
의 유사주제(
) 논문