On smoothing of the Crank-Nicolson scheme and higher order schemes for pricing barrier options

By Bruce A. Wade, Abdul Khaliq, M. Yousuf, Jesús Vigo-Aguiar, R. Deininger. 2007

68 citations recorded by the source corpus.

Subfields: Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/fbf98f81dc44c39daba939ea62b678aaadf87672

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Abdul Khaliq

In Numerical Analysis

1. Abdul Khaliq
2. Britta Kleefeld
3. Bruce A. Wade

Citations in the corpus

• Smoothing schemes for reaction-diffusion systems with nonsmooth data (2009, unknown): “[15,22,23,32,34].”
• An ETD Crank‐Nicolson method for reaction‐diffusion systems (2012, background): “It has been established through many important examples [15, 17, 24, 25, 29, 30, 31, 32], that nonsmooth initial data or mismatched initialboundary conditions constitute an important class of application problems that should be addressed.”