Higher Order Finite Difference Scheme for solving 3D Black-Scholes equation based on Generic Factored Approximate Sparse Inverse Preconditioning using Reordering Schemes.
Eleftherios-Nektarios G. GrylonakisC. K. Filelis-PapadopoulosGeorge A. GravvanisPublished in: Panhellenic Conference on Informatics (2014)
Keyphrases
- finite difference
- semi implicit
- numerical scheme
- higher order
- black scholes
- numerical methods
- numerical solution
- hamilton jacobi
- finite element
- partial differential equations
- exact solution
- numerical analysis
- high order
- level set
- pairwise
- natural images
- option pricing
- diffusion equation
- differential equations
- edge preserving
- nonlinear diffusion
- anisotropic diffusion
- financial markets
- computer vision
- markov random field
- optical flow
- computational complexity
- multiscale
- image segmentation
- image processing