Anbo Le

Publication Activity (10 Years)

Years Active: 2010-2021
Publications (10 Years): 11

Top Topics

Black Scholes Model

Hamilton Jacobi

Numerical Solution

Diffusion Equation

Top Venues

Int. J. Comput. Math.

Appl. Math. Comput.

J. Comput. Appl. Math.

Publications

Zhongdi Cen, Anbo Le
An efficient numerical method for pricing a Russian option with a finite time horizon. Int. J. Comput. Math. 98 (10) (2021)
Zhongdi Cen, Jian Huang, Aimin Xu, Anbo Le
A modified integral discretization scheme for a two-point boundary value problem with a Caputo fractional derivative. J. Comput. Appl. Math. 367 (2020)
Zhongdi Cen, Aimin Xu, Anbo Le, Li-Bin Liu
A uniformly convergent hybrid difference scheme for a system of singularly perturbed initial value problems. Int. J. Comput. Math. 97 (5) (2020)
Zhongdi Cen, Jian Huang, Anbo Le, Aimin Xu
A second-order scheme for a time-fractional diffusion equation. Appl. Math. Lett. 90 (2019)
Zhongdi Cen, Jian Huang, Aimin Xu, Anbo Le
Numerical approximation of a time-fractional Black-Scholes equation. Comput. Math. Appl. 75 (8) (2018)
Zhongdi Cen, Aimin Xu, Anbo Le
A high-order finite difference scheme for a singularly perturbed fourth-order ordinary differential equation. Int. J. Comput. Math. 95 (9) (2018)
Zhongdi Cen, Anbo Le, Aimin Xu
A robust numerical method for a fractional differential equation. Appl. Math. Comput. 315 (2017)
Zhongdi Cen, Anbo Le, Aimin Xu
Parameter-uniform hybrid difference scheme for solutions and derivatives in singularly perturbed initial value problems. J. Comput. Appl. Math. 320 (2017)
Zhongdi Cen, Anbo Le, Aimin Xu
A posteriori error analysis for a fractional differential equation. Int. J. Comput. Math. 94 (6) (2017)
Zhongdi Cen, Aimin Xu, Anbo Le
On the hybrid finite difference scheme for a singularly perturbed Riccati equation. Numer. Algorithms 71 (2) (2016)
Zhongdi Cen, Aimin Xu, Anbo Le
A hybrid finite difference scheme for pricing Asian options. Appl. Math. Comput. 252 (2015)
Zhongdi Cen, Anbo Le, Aimin Xu
Finite difference scheme with a moving mesh for pricing Asian options. Appl. Math. Comput. 219 (16) (2013)
Zhongdi Cen, Anbo Le, Aimin Xu
An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options. J. Appl. Math. 2013 (2013)
Zhongdi Cen, Anbo Le, Aimin Xu
Exponential Time Integration and Second-Order Difference Scheme for a Generalized Black-Scholes Equation. J. Appl. Math. 2012 (2012)
Anbo Le, Zhongdi Cen, Aimin Xu
A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility. Int. J. Comput. Math. 89 (9) (2012)
Zhongdi Cen, Anbo Le
A robust and accurate finite difference method for a generalized Black-Scholes equation. J. Comput. Appl. Math. 235 (13) (2011)
Zhongdi Cen, Anbo Le
A robust finite difference scheme for pricing American put options with Singularity-Separating method. Numer. Algorithms 53 (4) (2010)
Zhongdi Cen, Aimin Xu, Anbo Le
A second-order hybrid finite difference scheme for a system of singularly perturbed initial value problems. J. Comput. Appl. Math. 234 (12) (2010)